Time Series Analysis - Modultafeln of TU Ilmenau
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The legally binding information
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pages of the course offers.
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| module properties module number 200452 - common information | |
|---|---|
| module number | 200452 |
| department | Department of Mathematics and Natural Sciences |
| ID of group | 2412 (Group for Probability Theory and Mathematical Statistics) |
| module leader | Prof. Dr. Thomas Hotz |
| language | Deutsch |
| 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. |
| evaluation of teaching | |
| Details reference subject | |
|---|---|
| module name | Time Series Analysis |
| examination number | 2400804 |
| credit points | 5 |
| SWS | 3 (2 V, 1 Ü, 0 P) |
| on-campus program (h) | 33.75 |
| self-study (h) | 116.25 |
| Obligation | obligatory |
| exam | oral examination performance, 30 minutes |
| details of the certificate | |
| Signup details for alternative examinations | |
| maximum number of participants | |