Applied Time Series Analysis

Beginning of lectures: Monday, 22/02/2016.

Attendance certificate conditions: None.

Exercises

Beginning of lectures: Monday, 22/02/2016.

Here is a link to the exercises.

Content

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.

Objective

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

Script (Updated as of 27/05/2016)

Slides (Updated as of 28/07/2016)

Literature

A pdf with a list of a few recommendations with respect to the course can be found here