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SF2945 Time Series Analysis 6.0 credits

Tidsserieanalys

The overall purpose of the course is that the student should be well acquainted with basic concepts, theory, models and solution methods in time series analysis, models for "dependent" data. Such data are common in economical (e.g., the price development of a product) and in natural science (e.g., meteorological observations) applications.

  • Educational level

    Second cycle

  • Academic level (A-D)

    D

  • Subject area

    Mathematics

  • Grade scale

    A, B, C, D, E, FX, F

At present this course is not scheduled to be offered.

Learning outcomes

To pass the course, the student should be able to do the following:

  • identify trends and seasonal variations in time series
  • define and calculate expectation, covariance function and spectral distribution and analyse their relations
  • estimate the above mentioned quantities for time series data and quantify the uncertainty in these estimates
  • predict on real time series of different lengths, for instance by recursive methods
  • define and apply parametric models of ARMA type and analyse the properties of the models
  • fit ARMA models to real data
  • explain the generalisations ARIMA and FARIMA of ARMA models
  • analyse data with parametric variance models of ARCH type
  • describe in a broad sense Kalman filters

To receive the highest grade, the student should in addition be able to do the following:

  • Combine all the concepts and methods mentioned above in order to solve more complex problems.

Course main content

General introduction to time series. Stationary and non-stationary models, e.g. ARMA- and ARIMA-models. Prediction of time series. Spectral theory. Estimation of parameters and of the spectra. Filtering.

Eligibility

Previous knowledge is assumed equivalent to SF1906 (5B1506).

Literature

Brockwell and Davis: Introduction to Time Series and Forecasting, Springer-Verlag.

Examination

  • TEN1 - Examination, 4.5 credits, grade scale: A, B, C, D, E, FX, F
  • ÖVN1 - Assignments, 1.5 credits, grade scale: P, F

Requirements for final grade

Written examination.
Home works.

Offered by

SCI/Mathematics

Examiner

Supplementary information

Replaced by SF2943 from 11/12.

Version

Course plan valid from: Autumn 07.
Examination information valid from: Autumn 07.