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.
SF2945 Time Series Analysis 6.0 credits
This course has been discontinued.
Last planned examination: Autumn 2012
Decision to discontinue this course:
No information inserted
Course offerings are missing for current or upcoming semesters.
Headings with content from the Course syllabus SF2945 (Autumn 2007–) are denoted with an asterisk ( )
Content and learning outcomes
Course contents
Intended 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.
Literature and preparations
Specific prerequisites
Previous knowledge is assumed equivalent to SF1906 (5B1506).
Recommended prerequisites
No information inserted
Equipment
No information inserted
Literature
Brockwell and Davis: Introduction to Time Series and Forecasting, Springer-Verlag.
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
Grading scale
A, B, C, D, E, FX, F
Examination
- TEN1 - Examination, 4.5 credits, grading scale: A, B, C, D, E, FX, F
- ÖVN1 - Assignments, 1.5 credits, grading scale: P, F
Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Other requirements for final grade
Written examination.
Home works.
Opportunity to complete the requirements via supplementary examination
No information inserted
Opportunity to raise an approved grade via renewed examination
No information inserted
Examiner
No information inserted
Ethical approach
- All members of a group are responsible for the group's work.
- In any assessment, every student shall honestly disclose any help received and sources used.
- In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.
Further information
Course room in Canvas
Registered students find further information about the implementation of the course in the course room in Canvas. A link to the course room can be found under the tab Studies in the Personal menu at the start of the course.
Offered by
Main field of study
Mathematics
Education cycle
Second cycle
Add-on studies
No information inserted
Supplementary information
Replaced by SF2943 from 11/12.