401-4623-00L Time Series Analysis
| Semester | Autumn Semester 2023 |
| Lecturers | N. Meinshausen |
| Periodicity | two-yearly recurring course |
| Course | Does not take place this semester. |
| Language of instruction | English |
Courses
| Number | Title | Hours | Lecturers | |
|---|---|---|---|---|
| 401-4623-00 G | Time Series Analysis Does not take place this semester. | 2 hrs | N. Meinshausen |
Catalogue data
| 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. |
| Learning 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 |
Performance assessment
| Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
| ECTS credits | 4 credits |
| Examiners | N. Meinshausen |
| Type | session examination |
| Language of examination | English |
| Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
| Mode of examination | written 120 minutes |
| Additional information on mode of examination | The examination of this 2-yearly course is only offered in the two examination sessions directly following the course. |
| Written aids | None |
| 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. |
Groups
| No information on groups available. |
Restrictions
| There are no additional restrictions for the registration. |
