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Seminar for Statistics

Applied Time Series Analysis

Professor Dr. Marcel Dettling Time Mo 10-12
Coordinators Alain Hauser,
Manuel Koller
Place HG E 1.2

Beginning of lectures: Monday, 21.02.2011.

Attendance certificate conditions: None.


Here is a link to the exercises.


The 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.


The 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.


Getting 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.





There are many books that are dedicated to time series analysis. Here are a few recommendations, in order of preference:

  1. Introductory Time Series with R, Paul S.P. Cowpertwait and Andrew V. Metcalfe, Springer, 1st Edition (2009). ISBN-10: 0387886974, 256 pages, ca. 40$.
  2. The Analysis of Time Series: an Introduction, Chris Chatfield, Chapman and Hall / CRC, 6th Edition (2003). ISBN-10: 1584883170. 352 pages, ca. 58$.
  3. Introduction to Time Series and Forecasting, Peter J. Brockwell and Richard A. Davis, Springer, 2nd Edition (2002). ISBN-10: 0387953515. 456 pages, ca. 90$.
  4. Time Series: Theory and Methods, Peter J Brockwell and Richard A. Davis, Springer, 2nd Printing Edition (2009). ISBN-10: 1441903194, 688 pages, ca. 82$

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