401-4623-00L  Time Series Analysis

SemesterHerbstsemester 2021
DozierendeF. Balabdaoui
Periodizität2-jährlich wiederkehrende Veranstaltung
LehrveranstaltungFindet dieses Semester nicht statt.

KurzbeschreibungThe 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.
LernzielThe 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.
InhaltThis 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:

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