Technische Universität Ilmenau

Time Series Analysis - Modultafeln of TU Ilmenau

The module lists provide information on the degree programmes offered by the TU Ilmenau.

Please refer to the respective study and examination rules and regulations for the legally binding curricula (Annex Curriculum).

You can find all details on planned lectures and classes in the electronic university catalogue.

Information and guidance on the maintenance of module descriptions by the module officers are provided at Module maintenance.

Please send information on missing or incorrect module descriptions directly to modulkatalog@tu-ilmenau.de.

module properties module number 200452 - common information
module number200452
departmentDepartment of Mathematics and Natural Sciences
ID of group2412 (Probability Theory and Mathematical Statistics)
module leaderProf. Dr. Thomas Hotz
languageDeutsch
term Wintersemester
previous knowledge and experience

Maßtheorie &Stochastik oder Stochastik, besser Stochastische Prozesse

learning outcome

Die Studierenden sind nach der Vorlesung und den sie begleitenden Übungen in der Lage, Zeitreihendaten im Rahmen der behandelten Modellklassen zu modellieren, zu analysieren und vorherzusagen.

content

Stationäre Prozesse und ihre Vorhersage, Schätzung von Erwartungswert und Kovarianz, ARMA-Prozesse, Spektralanalyse, Zustandsraummodelle und Kalman-Filter, Finanzzeitreihen

media of instruction and technical requirements for education and examination in case of online participation

Tafel, Skript, Aufgaben, Software

literature / references

Brockwell, P. J. and Davis, R. A. (2006). Time Series: Theory and Methods, 2nd edn, Springer-Verlag, New York.
Hannan, E. J. (1983). Time Series Analysis, Chapman and Hall International, London.
Durbin, J. and Koopman, S. J. (2001). Time Series Analysis by State Space Methods, Oxford University Press, Oxford.
Franke, J., Härdle, W. and Hafner, C. M. (2004). Statistics of Financial Markets, Springer-Verlag, Berlin.

evaluation of teaching
Details reference subject
module nameTime Series Analysis
examination number2400804
credit points5
SWS3 (2 V, 1 Ü, 0 P)
on-campus program (h)33.75
self-study (h)116.25
obligationobligatory module
examoral examination performance, 30 minutes
details of the certificate
alternative examination performance due to COVID-19 regulations incl. technical requirements
signup details for alternative examinations
maximum number of participants
Details in degree program Bachelor Informatik 2013, Bachelor Informatik 2021, Master Informatik 2021, Master Technische Kybernetik und Systemtheorie 2021, Bachelor Mathematik 2021
module nameTime Series Analysis
examination number2400804
credit points5
on-campus program (h)34
self-study (h)116
obligationelective module
examoral examination performance, 30 minutes
details of the certificate
alternative examination performance due to COVID-19 regulations incl. technical requirements
signup details for alternative examinations
maximum number of participants