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 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 |