Applied Time Series Analysis

Beginning of lectures: Monday, 02/20/2012.

Attendance certificate conditions: None.

Exercises

Here is a link to the exercises.

Content

The course starts with an introduction to time series analysis that comprises of purpose, examples and goals. We continue with some fundamental mathematical concepts, then discuss how time series are handled in the statistical software package R and present descriptive techniques for time series analysis. A major part of the course will be dedicated to modeling stationary time series using the flexible class of ARMA models. We will then turn our attention to the task of forecasting with time series, which also involves regression approaches and exponential smoothing. Finally, we lay focus on some more advanced topics such as multivariate time series analysis, spectral analysis and state space models.

Documents

Organisation

Scriptum

Slides

• Week 1

• Week 2

• Week 3

• Week 4

• Week 5

• Week 6

• Week 7

• Week 8

• Week 9

• Week 10

• Week 11

• Week 12

Literature

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