Technische Universität Ilmenau

Time Series Analysis - Modultafeln of TU Ilmenau

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module properties Time Series Analysis in degree program Master Mathematik und Wirtschaftsmathematik 2013 (AM)
module number5805
examination number2400179
departmentDepartment of Mathematics and Natural Sciences
ID of group 241B (Stochastics)
module leaderProf. Dr. Thomas Hotz
term winter term only
languageDeutsch
credit points4
on-campus program (h)34
self-study (h)86
obligationelective module
examnone
details of the certificate
alternative examination performance due to COVID-19 regulations incl. technical requirements
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

Pflichtevaluation:

WS 2008/09 (Fach)

Freiwillige Evaluation:

Hospitation: