Course - Time Series Models - TMA4285
Time Series Models
About
About the course
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, exercises and works (projects). Portfolio assessment is the basis for the grade awarded in the course. This portfolio comprises a written final examination (80%) and works (projects) (20%). The results
for the constituent parts are to be given in %-points, while the grade for the whole portfolio (course grade) is given by the letter grading system. Retake of examination may be given as an oral examination. 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
- Work
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.
Course materials
Will be announced at the start of the course.
Credit reductions
Course code | Reduction | From |
---|---|---|
SIF5079 | 7.5 sp |
Subject areas
- Statistics
- Technological subjects