Time Series Analysis - Interactive curriculae of TU Ilmenau

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module properties Time Series Analysis in degree program Master Mathematik und Wirtschaftsmathematik 2013 (AM)
module number	5805
examination number	2400179
department	Department of Mathematics and Natural Sciences
ID of group	241B (Stochastics)
module leader	Prof. Dr. Thomas Hotz
term	winter term only
language	Deutsch
credit points	4
on-campus program (h)	34
self-study (h)	86
obligation	elective module
exam	none
details of the certificate
link to Moodle course
teacher
signup details for alternative examinations
maximum number of participants
previous knowledge and experience	Analysis, Lineare Algebra, Wahrscheinlichkeitsrechnung, Mathematische Statistik; wünschenswert: Stochastische Prozesse, Funktionalanalysis, Statistische Analyseverfahren, Funktionentheorie
learning outcome	Die Studierenden sind in der Lage, Zeitreihendaten 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