Course - Time Series Models - TMA4285
TMA4285 - Time Series Models
About
Examination arrangement
Examination arrangement: Portfolio assessment
Grade: Letters
| Evaluation | Weighting | Duration | Grade deviation | Examination aids |
|---|---|---|---|---|
| Arbeider | 20/100 | |||
| Skriftlig eksamen | 80/100 | 4 timer |
Course content
Autoregressive and moving average based models for stationary and non-stationary time series. Model identification, parameter estimation and forecasting. ARCH and GARCH models for volatility. State space models, linear dynamic models and the Kalman filter.
Learning outcome
The course gives basic knowledge of models for series of stochastically dependent observations in time, with applications in engineering and finance. The student will through the exercises be able to apply the theory to analyse time series data.
Learning methods and activities
Lectures and exercises on a computer. The lectures may be given in English. Portfolio assessment is the basis for the grade awarded in the course. This portfolio comprises a written final examination 80% and selected parts of the exercises 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.
Compulsory assignments
- Exercises
Recommended previous knowledge
The course is based on TMA4240/4245 Statistics or equivalent. The course demands some degree of maturity in Statistics and we recommend to have also TMA4265 Stochastic Processes and TMA4267 Linear Statistical Models in advance.
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 2011
Language of instruction: English, Norwegian
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- Statistics
- Technological subjects
Department with academic responsibility
Department of Mathematical Sciences
Examination
Examination arrangement: Portfolio assessment
- Term Status code Evaluation Weighting Examination aids Date Time Examination system Room *
- Autumn ORD Skriftlig eksamen 80/100 2011-12-01 09:00
-
Room Building Number of candidates - Autumn ORD Arbeider 20/100
-
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"