Fadoua Balabdaoui: Catalogue data in Autumn Semester 2020

Name Prof. Dr. Fadoua Balabdaoui
Address
Mathematik, Bühlmann
ETH Zürich, HG G 24.1
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telephone+41 44 632 61 84
E-mailfadoua.balabdaoui@stat.math.ethz.ch
URLhttp://stat.ethz.ch/~fadouab/
DepartmentMathematics
RelationshipAdjunct Professor

NumberTitleECTSHoursLecturers
401-4623-00LTime Series Analysis6 credits3GF. Balabdaoui
AbstractThe course offers an introduction into analyzing times series, that is observations which occur in time. The material will cover Stationary Models, ARMA processes, Spectral Analysis, Forecasting, Nonstationary Models, ARIMA Models and an introduction to GARCH models.
ObjectiveThe goal of the course is to have a a good overview of the different types of time series and the approaches used in their statistical analysis.
ContentThis course treats modeling and analysis of time series, that is random variables which change in time. As opposed to the i.i.d. framework, the main feature exibited by time series is the dependence between successive observations.

The key topics which will be covered as:

Stationarity
Autocorrelation
Trend estimation
Elimination of seasonality
Spectral analysis, spectral densities
Forecasting
ARMA, ARIMA, Introduction into GARCH models
LiteratureThe main reference for this course is the book "Introduction to Time Series and Forecasting", by P. J. Brockwell and R. A. Davis
Prerequisites / NoticeBasic knowledge in probability and statistics