401-4623-00L  Time Series Analysis

SemesterAutumn Semester 2016
LecturersN. Meinshausen
Periodicitytwo-yearly recurring course
Language of instructionEnglish



Catalogue data

AbstractStatistical analysis and modeling of observations in temporal order, which exhibit dependence. Stationarity, trend estimation, seasonal decomposition, autocorrelations,
spectral and wavelet analysis, ARIMA-, GARCH- and state space models. Implementations in the software R.
ObjectiveUnderstanding of the basic models and techniques used in time series analysis and their implementation in the statistical software R.
ContentThis course deals with modeling and analysis of variables which change randomly in time. Their essential feature is the dependence between successive observations.
Applications occur in geophysics, engineering, economics and finance. Topics covered: Stationarity, trend estimation, seasonal decomposition, autocorrelations,
spectral and wavelet analysis, ARIMA-, GARCH- and state space models. The models and techniques are illustrated using the statistical software R.
Lecture notesNot available
LiteratureA list of references will be distributed during the course.
Prerequisites / NoticeBasic knowledge in probability and statistics

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits6 credits
ExaminersN. Meinshausen
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 20 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

No public learning materials available.
Only public learning materials are listed.

Courses

NumberTitleHoursLecturers
401-4623-00 GTime Series Analysis3 hrs
Wed09-10HG D 7.1 »
Thu10-12HG D 1.1 »
N. Meinshausen

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics BachelorSelection: Probability Theory, StatisticsWInformation
Mathematics MasterSelection: Probability Theory, StatisticsWInformation
Computational Science and Engineering BachelorElectivesWInformation
Computational Science and Engineering MasterElectivesWInformation
Statistics MasterTime Series and Stochastic ProcessesWInformation