TMA4285 - Time Series Models

About

Examination arrangement

Examination arrangement: Portfolio assessment
Grade: Letters

Evaluation form Weighting Duration Examination aids Grade deviation
Work 20/100
Written examination 80/100 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, 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

Specific conditions

Exam registration requires that class registration is approved in the same semester. Compulsory activities from previous semester may be approved by the department.

Course materials

Will be announced at the start of the course.

Credit reductions

Course code Reduction From To
SIF5079 7.5

Timetable

Detailed timetable

Examination

Examination arrangement: Portfolio assessment

Term Statuskode Evaluation form Weighting Examination aids Date Time Room *
Autumn ORD Work 20/100
Summer KONT Work 20/100
Autumn ORD Written examination 80/100 C 2016-12-08 09:00 E3 , E6 , R D1-185 Datasal
Summer KONT Oral examination 80/100 2017-08-11
  • * 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.