Time Series Analysis

Note: The time of the lecture has rescheduled to Thursday 8:30 - 10:00, venue of the first lecture (15.10.2015) is Heho18, E 60, as of the second lecture (22.10.2015) Heho18, E20. 


Robert Stelzer

Class teacher:

Johanna Vestweber





2h lectures + 2h exercises

Time and Venue:

Lecture: Thursday 8:30 - 10:00. Room: 15.10.2015 Heho 18, E60, as of 22.10.2015 Heho 18, E20. 

Exercises: Thursday 14:15 - 15:45 in Heho 18 room E20, first exercise class: 22.10.2015.




Probability Theory, Statistics


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.




  • 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.