Course - Time Series - TMA4285
TMA4285 - Time Series
About
Examination arrangement
Examination arrangement: School exam
Grade: Letter grades
| Evaluation | Weighting | Duration | Grade deviation | Examination aids |
|---|---|---|---|---|
| School exam | 100/100 | 4 hours | C |
Course content
Autoregressive and moving average based models for stationary and non-stationary time series. Parameter estimation. Model identification. Forecasting. ARCH and GARCH models for volatility. State space models (linear dynamic models) and the Kalman filter.
Learning outcome
1. Knowledge. The student knows the theoretical basis for modelling and analysis of time series data from engineering and finance. This includes knowledge about autoregressive and moving average models for stationary and non-stationary time series, and to know how to do model identification, parameter estimation and forecasting in such models. It also includes knowledge about ARCH and GARCH models for volatility, state space models (linear dynamic models) and the Kalman filter. 2. Skills. The student is able to use his or her knowledge about various time series models to fit models to observed time series data from engineering and finance, and to make forecasts based on the same data.
Learning methods and activities
Lectures and compulsory exercises. The lectures may be given in English. If the course is taught in English, the exam may be given only in English. Students are free to choose Norwegian or English for written assessments.
Compulsory assignments
- Exercises
Further on evaluation
Retake of examination may be given as an oral examination.
Recommended previous knowledge
TMA4240/4245 Statistics or equivalent. The course demands some degree of maturity in Statistics and we also recommend to have TMA4267 Linear Statistical Models or TMA4255 Applied Statistics. TMA4145 Linear Methods (Vector- and Hilbert space) is also recommended.
Course materials
Will be announced at the start of the course.
Credit reductions
| Course code | Reduction | From | To |
|---|---|---|---|
| SIF5079 | 7.5 |
Version: 1
Credits:
7.5 SP
Study level: Second degree level
Term no.: 1
Teaching semester: AUTUMN 2023
Language of instruction: English, Norwegian
Location: Trondheim
- Statistics
- Technological subjects
Department with academic responsibility
Department of Mathematical Sciences
Examination
Examination arrangement: School exam
- Term Status code Evaluation Weighting Examination aids Date Time Examination system Room *
- Autumn ORD School exam 100/100 C 2023-11-30 15:00 INSPERA
-
Room Building Number of candidates SL520 Sluppenvegen 14 1 SL311 orange sone Sluppenvegen 14 39 - Summer UTS School exam 100/100 C INSPERA
-
Room Building Number of candidates
- * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
For more information regarding registration for examination and examination procedures, see "Innsida - Exams"