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Choice between Time Series courses

DanM

DanM

Math Student
Joined
8/1/09
Messages
179
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I'm trying to decide between these two courses. Which one would be more beneficial for quantitative finance?

Introduction to the Theory and Methods of Time Series Analysis
A systematic presentation of many statistical techniques for the analysis of time series data. The core topics include time dependence and randomness, trend, seasonality and error, stationary processes, ARMA and ARIMA processes, multivariate time series models and state-space models.

Time Series and Spectral Analysis
Treatment of discrete sampled data by linear optimum Wiener filtering, minimum error energy deconvolution, autocorrelation and spectral density estimation, discrete Fourier transforms and frequency domain filtering and the Fast Fourier Transform Algorithm. Examples showing applications of time analysis in hydrology, geophysics, image processing etc.
 
The first one. I am taking one that is like the fist one listed but has more to it. The 2nd one seems to be geared to EE. Is this a Bachelors level course?
 
The first seems relatively basic and almost necessary to fully understand the concepts in the second. What interests me is the mention of examples in "hydrology and geophysics" in the second course; this seems like they'll be discussing long-memory processes which (at least in my research experience) occur frequently in financial economics. If you can, take both (the first one first!); if not master the concepts in the first and worry about the rest in grad school. If the first course is a true introductory time series course it should also cover some spectral analysis. Hope this helps...
 
These are the topics covered in the first course (taken from the course schedule from this past year): Trend smoothing, autocovariance, autocorrelation, ARMA models, nonstationary time series, forecasting, model identification, estimation, unit root problem.

These are both offered in the fall, so I could take them simultaneously, but since it will be my final year, I cannot take one before the other.

However, the second course looked a lot more interesting to me, and from what I've read, it seems to me to be more applicable to quantitative finance. The only problem is that it is scheduled at the same time as a PDE course I want to take.

Also, the first one is not a prerequisite for the second.
 
The first one is more introductory, it should give you the intuition.

The second one is definitely EE perspective - to apply it you would need the intuition of the first.
 
Forgetting about the Intro Time Series for a moment... If you have to choose between a Spectral Analysis and a PDE course I would take the PDE course without question. Problem solved (y)
 
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