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 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

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
Facts

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

Coursework

Term no.: 1
Teaching semester:  AUTUMN 2015

Language of instruction: English, Norwegian

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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 Arbeider 20/100
Room Building Number of candidates
Autumn ORD Skriftlig eksamen 80/100 2015-12-16 09:00
Room Building Number of candidates
Summer KONT Arbeider 20/100
Room Building Number of candidates
Summer KONT Oral examination 80/100 2016-08-08
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"

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