Entry requirements

120 credits including Inference Theory I, 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 for the concepts stationary time series and autocorrelation and know how to estimate autocorrelation based on an observed time series;
• apply methods for estimation of trend and seasonal variation in time series;
• estimate parameters of ARIMA-processes and assess the validity of the fitted models.
• make predictions, in particular for ARIMA-processes;
• explain the foundations of spectral theory and how to estimate spectral density;
• evaluate results from statistical computer software (for example R) for model fitting of time series.

Content

Stationary time series. ARIMA processes. Box–Jenkin’s method for model adaptation. Prediction. Seasonal modelling. Spectral theory, smoothing methods for spectral estimation. Software for analysis of time series. Overview of multivariate models, Kalman-filters och non-linear models such as ARCH- and GARCH-models.

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.