Technische Universität Ilmenau

Time Series Analysis - Modultafeln of TU Ilmenau

The Modultafeln have a pure informational character. The legally binding information can be found in the corresponding Studienplan and Modulhandbuch, which are served on the pages of the course offers. Please also pay attention to this legal advice (german only). Information on place and time of the actual lectures is served in the Vorlesungsverzeichnis.

subject properties Time Series Analysis in major Master Mathematik und Wirtschaftsmathematik 2013 (WM)
subject number5805
examination number2400179
departmentDepartment of Mathematics and Natural Sciences
ID of group 241B (Stochastics Group)
subject leaderProf. Dr. Thomas Hotz
term Wintersemester
languageDeutsch
credit points4
on-campus program (h)34
self-study (h)86
Obligationobligatory elective
examnone
details of the certificate
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

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: