Technische Universität Ilmenau

Time Series Analysis - Modultafeln of TU Ilmenau

The Modultafeln have a pure informational character. If you find information that seems to be incorrect, please contact modulkatalog@tu-ilmenau.de.

The legally binding information can be found in the corresponding Studienplan and Modulhandbuch, which are served on the pages of the course offers.
Information on the room and time of planned courses can be found in the e-calendar of events.

module properties module number 200452 - common information
module number200452
departmentDepartment of Mathematics and Natural Sciences
ID of group2412 (Group for 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

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
examoral examination performance, 30 minutes
details of the certificate
Signup details for alternative examinations
maximum number of participants