447-6624-01L  Applied Time Series I

SemesterSpring Semester 2020
LecturersM. Dettling
Periodicitytwo-yearly recurring course
Language of instructionEnglish
CommentOnly for DAS and CAS in Applied Statistics.

AbstractIntroduction to time series analysis: examples, goals and mathematical notation. Descriptive techniques, modelling and prediction.
ObjectiveGetting to know the mathematical properties of time series, as well as the requirements, descriptive techniques, models and software that are necessary such that the student can independently run an applied time series analysis.
ContentThe course starts with an introduction to time series analysis that comprises of examples and goals. We continue with notation and descriptive analysis of time series. A major part of the course will be dedicated to modeling and forecasting of time series using the flexible class of ARMA models.
Lecture notesA script will be available.