printlogo
http://www.ethz.ch/index_EN
Seminar for Statistics
 
print
  

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.

Content

Here is a link to the exercises.

Abstract

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.

Content

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.

Objetive

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.

Documents

Organisation

Slides

Literature

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$.
  4. Time Series: Theory and Methods, Peter J Brockwell and Richard A. Davis, Springer, 2nd Printing Edition (2009). ISBN-10: 1441903194, 688 pages, ca. 82$
 

Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne graphische Elemente dargestellt. Die Funktionalität der Website ist aber trotzdem gewährleistet. Wenn Sie diese Website regelmässig benutzen, empfehlen wir Ihnen, auf Ihrem Computer einen aktuellen Browser zu installieren. Weitere Informationen finden Sie auf
folgender Seite.

Important Note:
The content in this site is accessible to any browser or Internet device, however, some graphics will display correctly only in the newer versions of Netscape. To get the most out of our site we suggest you upgrade to a newer browser.
More information

© 2016 Mathematics Department | Imprint | Disclaimer | 4 February 2013
top