Applied Time Series

Spring semester 2019

General information

Lecturer Marcel Dettling
Assistant Meta-Lina Spohn
Lecture Monday 10-12, HG E 1.2
Exercises Monday 08-10, HG D 1.1
Course catalogue data >>

Course content

The focus lies on correctly applying time series methodology on real world data for gaining new insight. Technical details and mathematical concepts will be covered on a basic level that is accessible to the heterogeneous audience consisting of students from bachelor, master and doctoral programs of various faculties.


  • Beginning of lecture: Monday, 18.02.2019. (Exercises start on 25.02.2019 at 08:15 in room HG D 1.1.)
  • Question Hour ("Ferienpräsenz"): Wednesday, 31.07.2019 at 15:00 (HG G 19.1) and Wednesday, 14.08.2019 at 16:00 (HG G 26.3)
  • Exam Review: Monday, 23.09.2019 at 12:00 - 13:00 (HG G19.2)

Course materials

The course organisation can be found here.

The script can be found here.

The slides can be found here.

The additional slides on statistical analysis of financial data can be found here.

Exercise classes

Exercise classes are (roughly) every two weeks starting on 25.02.2019. Please install R and RStudio and bring your laptop to the exercise classes, if possible.

The format of the exercise classes is described here.

Series and solutions

Exercises Solutions Exercise class (08:15 - 10:00, HG D 1.1)
Series 1 (Time series in R, Decomposition) Solutions 1 25.02.19
Series 2 (Decomposition, Autocorrelation) Solutions 2 11.03.19
Series 3 (AR Models and Applications) Solutions 3 25.03.19
Series 4 (ARMA; Time Series Regression) Solutions 4 08.04.19
Series 5 (Forecasting with Time Series) Solutions 5 29.04.19
Series 6 (Multivariate, Spectral Analysis) Solutions 6 13.05.19
Series 7 (Analysis of Financial Data) Solutions 7 27.05.19