course-details-portlet

TMA4285

Time Series

Choose study year
Credits 7.5
Level Second degree level
Course start Autumn 2024
Duration 1 semester
Language of instruction English
Location Trondheim
Examination arrangement School exam

About

About the course

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 and compulsory exercises.

Students are free to choose Norwegian or English for written assessments.

Compulsory assignments

  • Exercises

Further on evaluation

Retake of examination may be given as an oral examination. The retake exam will be in August.

Course materials

Will be announced at the start of the course.

Credit reductions

Course code Reduction From
SIF5079 7.5 sp
This course has academic overlap with the course in the table above. If you take overlapping courses, you will receive a credit reduction in the course where you have the lowest grade. If the grades are the same, the reduction will be applied to the course completed most recently.

Subject areas

  • Statistics
  • Technological subjects

Contact information

Course coordinator

Department with academic responsibility

Department of Mathematical Sciences