Analysis of Time Series

10 credits

Syllabus, Master's level, 1MS014

A revised version of the syllabus is available.

Code: 1MS014
Education cycle: Second cycle
Main field(s) of study and in-depth level: Financial Mathematics A1N, Mathematics A1N
Grading system: Fail (U), Pass (3), Pass with credit (4), Pass with distinction (5)
Finalised by: The Faculty Board of Science and Technology, 15 March 2007
Responsible department: Department of Mathematics

Entry requirements

BSc, Inference Theory, or Probability and Statistics and Stochastic Modelling

Learning outcomes

In order to pass the course (grade 3) the student should be able to

give an account of important concepts and definitions in the area of the course;

exemplify and interpret important concepts in specific cases;

use the theory, methods and techniques of the course to solve mathematical statistical problems;

express problems from relevant areas of applications in a form suitable for further mathematical statistical analysis, choose suitable models and solution techniques;

interpret and asses results obtained;

use statistical software;

present mathematical statistical arguments to others.

Higher grades, 4 or 5, require a higher level of proficiency. The student should be able to treat and solve problems of greater complexity, i.e. problems requiring a combination of ideas and methods for their solution, and be able to give a more detailed account of the proofs of important theorems and by examples and counter-examples be able to motivate the scope of various results.

Requirements concerning the student's ability to present arguments and reasoning are greater.

Content

Stationary time series. ARIMA processes. Box–Jenkin's method for model adaptation. Prediction. Seasonal modelling. Spectral theory, smoothing methods for spectral estimation, Kalman filter. ARCH and GARCH models. Software for analysis of time series.

Instruction

Lectures, problem solving sessions and computer-assisted laboratory work.

Assessment

Written examination (8 credit points) at the end of the course. Assignments and laboratory work (2 credit points) during the course.