Analysis of Time Series
Syllabus, Master's level, 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, 27 August 2009
- Responsible department
- Department of Mathematics
120 credits including Inference Theory, or Probability and Statistics and Stochastic Modelling
In order to pass the course (grade 3) the student should
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.
Lectures, problem solving sessions and computer-assisted laboratory work.
Written examination (8 credit points) at the end of the course. Assignments and laboratory work (2 credit points) during the course.