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.
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
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 | To |
---|---|---|---|
SIF5079 | 7.5 |
Version: 1
Credits:
7.5 SP
Study level: Second degree level
Term no.: 1
Teaching semester: AUTUMN 2013
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 2013-12-07 09:00
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Room Building Number of candidates - Autumn ORD Arbeider 20/100
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Room Building Number of candidates - Summer KONT Arbeider 20/100
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Room Building Number of candidates - Summer KONT Muntlig eksamen 80/100 2014-08-05
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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"