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 |
fadoua.balabdaoui@stat.math.ethz.ch | |
URL | http://stat.ethz.ch/~fadouab/ |
Department | Mathematics |
Relationship | Adjunct Professor |
Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|
401-4623-00L | Time Series Analysis | 6 credits | 3G | F. Balabdaoui | |
Abstract | The 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. | ||||
Objective | The 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. | ||||
Content | This 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 | ||||
Literature | The main reference for this course is the book "Introduction to Time Series and Forecasting", by P. J. Brockwell and R. A. Davis | ||||
Prerequisites / Notice | Basic knowledge in probability and statistics |