Time Series Analysis - Interactive curriculae of TU Ilmenau

The interactive curriculae 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 course catalogue.

Please note that this page is no longer updated. All modules and study plans from PO version 2021 onwards (Bachelor and Master study programs) are now available on the Campus Portal.

module properties Time Series Analysis in degree program Master Technische Kybernetik und Systemtheorie 2021
module number	200452
examination number	2400804
department	Department of Mathematics and Natural Sciences
ID of group	2412 (Probability Theory and Mathematical Statistics)
module leader	Prof. Dr. Thomas Hotz
term	summer term only
language	Deutsch
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
link to Moodle course
teacher	Univ.-Prof. Dr. Jana de Wiljes
signup details for alternative examinations
maximum number of participants
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