course-details-portlet

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.
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 semester project(s) demanding the use of appropriate computer software. Portfolio assessment is the basis for the grade awarded in the course. This portfolio comprises a written final examination (80%) and the semester project(s) (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 will be given only in English. Students are free to choose Norwegian or English for written assessments.

Compulsory assignments

  • Exercises

Course materials

Will be announced at the start of the course.

Credit reductions

Course code Reduction From To
SIF5079 7.5
More on the course

Facts

Version: 1
Credits:  7.5 SP
Study level: Second degree level

Coursework

Term no.: 1
Teaching semester:  AUTUMN 2013

Language of instruction: English, Norwegian

-

Subject area(s)
  • Statistics
  • Technological subjects
Contact information
Course coordinator: Lecturer(s):

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 2013-12-07 09:00
Room Building Number of candidates
Autumn ORD Arbeider 20/100
Room Building Number of candidates
Summer KONT Arbeider 20/100
Room Building Number of candidates
Summer KONT Muntlig eksamen 80/100 2014-08-05
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.
Examination

For more information regarding registration for examination and examination procedures, see "Innsida - Exams"

More on examinations at NTNU