Courses

Lecture Winter Term 2012/2013

Time Series Analysis

Lecturer:	Robert Stelzer
Class Teacher:	Marc Wittlinger

Type:	Elective Course in Financial Mathematics or Stochastics

Time and Venue:	Lecture: Tuesday 08:15-10:00 in He 18 room 220 Exercises: biweekly Monday 12:15-14:00 in He 18 room 220

News:	The Retake Exam results are now in the Hochschulportal available. Please make an appointment via E-Mail for the inspection. Retake Exam: 04/08/2013, 10:15-11:15, H12. The Exam results are now in the Hochschulportal available. Exam inspection: 02/28/2013, 14:00-16:00, He 18 room 2.26. Final Exam: 02/25/2013, 10:15-11:15, H12. The first exercises take place at 10/22/12. Lecture on October 29th takes place in room 120 in He 18.

Prerequisites:	Probability Theory, Statistics

Contents:	In many application areas, the data to be analyzed form a sequence of observations given at a sequence of time points, that is, a time series. For instance, stock prices, exchange rates or meteorological data are typically recorded at a sequence of time points and thus yield time series. The fact that the data are subject to a certain chronological order is crucial for their analysis and has to be taken into account when formulating statistical models. Trends, seasonal effects, and stationarity will be fundamental notions in this course. We will discuss autocovariance and autocorrelation functions as a tool for analyzing dependencies in time. Particular attention will be given to ARMA (auto regressive moving average) processes as the most important linear model for time series. Within the setting of ARMA processes we will discuss statistical inference and forecasting methods. In addition to problems on the mathematical theory, homework sets will include practical examples. The course will be taught in English.

Literature:	Anderson, T.W.: The Statistical Analysis of Time Series. Wiley, New York, 1971. Box, G.E.P. and Jenkins, G.M.: Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco, 1970. Brillinger, D.R.: Time Series Analysis: Data Analysis and Theory. Holt, Rinehard & Winston, New York, 1981. Brockwell & Davis : Time series: Theory and Methods; Springer, 1987 (begleitend) Brockwell & Davis: Introduction to Time Series and Forecasting. Springer, 2002 Chatfield: The Analysis of Time Series: An Introduction, 3rd ed.; Chapman and Hall, 1984 Diggle: Time Series: A Biostatical Introduction; Oxford Statistical Science series, 1990 Granger, C.W.J. and Newbold, P.: Forecasting Economic Time Series. 2nd edn. Academic Press, New York, 1986. Hamilton: Time Series Analysis; Princeton University Press, 1994 Harvey, A.C.: Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press, 1989. Harvey, A.C.: Time Series Models. 2nd ed. Harvester Wheatsheaf, 1993. Priestley, M.B.: Spectral Analysis and Time Series. Academic Press, London, 1989. Wei, W.W.S.: Time Series Analysis. Addison-Wesley, 1990.

Schedule:	2 lectrures + 1 exercise

Exercises:	The exercise sheets can be found in the SLC.