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 number	200452
department	Department of Mathematics and Natural Sciences
ID of group	2412 (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 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 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 module
exam	oral 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 name	Time Series Analysis
examination number	2400804
credit points	5
on-campus program (h)	34
self-study (h)	116
obligation	elective module
exam	oral 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