Search result: Catalogue data in Spring Semester 2019

Statistics Master Information
The following courses belong to the curriculum of the Master's Programme in Statistics. The corresponding credits do not count as external credits even for course units where an enrolment at ETH Zurich is not possible.
Core Courses
In each subject area, the core courses offered are normally mathematical as well as application-oriented in content. For each subject area, only one of these is recognised for the Master degree.
Time Series and Stochastic Processes
NumberTitleTypeECTSHoursLecturers
401-6624-11LApplied Time SeriesW5 credits2V + 1UM. Dettling
AbstractThe course starts with an introduction to time series analysis (examples, goal, mathematical notation). In the following, descriptive techniques, modeling and prediction as well as advanced topics will be covered.
ObjectiveGetting to know the mathematical properties of time series, as well as the requirements, descriptive techniques, models, advanced methods 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. More advanced topics that will be covered in the following are time series regression, state space models and spectral analysis.
Lecture notesA script will be available.
Prerequisites / NoticeThe 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. More advanced topics that will be covered in the following are time series regression, state space models and spectral analysis.
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