Time Series Analysis
Lecture and Tutorials
First half of the summer term - until May 30,2017.
Dates:
| Lecture | Tuesday (from April 25) | 2 - 6 p.m c.t. | A 015 | Geschw.-Scholl-Pl. 1 (A) | K. Wohlrabe |
| Tutorial | Friday (from April 28) | 4 - 8 p.m. s.t. | A 022 | Geschw.-Scholl-Pl. 1 (A) | M. Kurz |
Lecture and tutorial in English.
News:
Course information:
All relevant material and information regarding the course can be accessed through Moodle.
The password required to enroll into the Moodle course will be announced in lectures and exercises.
Skript (Lecture):
The password required for downloads is the same as mentioned above. The script will be supplemented and you will find the updates below:
Script (Chapter 1-7; Update 22-May-2017)
Script (Chapter 1-8, Update 26-May-2017, Final Version)
Data Sets:
Time Schedule:
| Tue. 25-Apr-2017, 2 p.m. - 6 p.m. | Lecture | K. Wohlrabe |
| Fri. 28-Apr-2017, 4 p.m. - 8 p.m. | Exercise Session: Sheet 1 | M. Kurz |
| Tue. 02-May-2017, 2 p.m. - 6 p.m. | Lecture | K. Wohlrabe |
| Fri. 05-May2017, 4 p.m. - 8 p.m. | Exercise Session: Sheet 2 | M. Kurz |
| Tue. 09-May-2017, 2 p.m. - 6 p.m. | Lecture | K. Wohlrabe |
| Fri. 12-May-2017, 4 p.m. - 8 p.m. | Exercise Session: Sheet 3 | M. Kurz |
| Tue. 16-May-2017, 2 p.m. - 6 p.m. | Lecture | K. Wohlrabe |
| Fri. 19-May-2017, 4 p.m. - 8 p.m. | Exercise Session: Sheet 4 | M. Kurz |
| Tue. 23-May-2017, 2 p.m. - 6 p.m. | Lecture | K. Wohlrabe |
| Fri. 26-May-2017, 4 p.m. - 8 p.m. | Exercise Session: Sheet 5 | M. Kurz |
| Tue. 30-May-2017, 2 p.m. - 6 p.m. | Lecture | K. Wohlrabe |
| Wed. 07-Jun-2017, 4 p.m. - 6 p.m. | Exam | |
| Tue. 17-Oct-2017, 6 p.m. - 8 p.m. | Exam (second date) |
Topics:
- Overview
- Fundamentals and properties of stochastic processes
- Univariate ARIMA-Processes
- Estimation and forecasting of ARIMA-Models
- Univariate GARCH-Models + extensions
- Selected aspects: Long Memory und Fractional Differencing, Threshold-Models
Intended audience: Advanced bachelor and master students of statistics, mathematics, informatics, economics and business administration.
Prerequisites: Solid mathematical foundations (analysis and linear algebra), basic knowledge in econometrics (econometrics 1) or statistics (linear models).
Certification: Exam in the middle of the summer term, 6 ECTS credits.
Exam (6 ECTS; Second Date):
Date: 17.10.2017
Time: 6 p.m. - 8 p.m.
Location: Schellingstr. 3 (S) - S 001
Duration: 120 minutes
Registration: Please register for the examination by filling out the registration form in moodle until 13.10.2017
Permitted writing aids: A not programable calculator, as well as a handwritten DIN A4 crib sheet with formulas on both sides (1 sheet (2 pages) of DIN A4 paper). The crib sheet needs to be handed in together with the exam.
Please bring ID card and student card for identification!
Exam (6 ECTS):
Date: 07.06.2017
Time: 4 p.m. - 6 p.m.
Location: Geschw.-Scholl-Pl. 1 (M) - M 018
Duration: 120 minutes
Registration: Please register for the examination by filling out the registration form in moodle until 31.05.2017
Permitted writing aids: A not programable calculator, as well as a handwritten DIN A4 crib sheet with formulas on both sides (1 sheet (2 pages) of DIN A4 paper). The crib sheet needs to be handed in together with the exam.
Please bring ID card and student card for identification!
Literature
- Shumway, R. H., Stoffer, D. S., Time Series Analysis and Its Applications (2nd edition), New York: Springer-Verlag, 2006
- Brockwell, P.J., Davis, R.A., Introduction to Time Series and Forecasting (2nd edition), New York: Springer-Verlag, 2002
- Brockwell, P.J., Davis, R.A., Time Series: Theory and Methods (2nd edition), New York:Springer-Verlag, 1987
- Hamilton, J.D., Time Series Analysis, Princeton University Press, 1994
- Tsay, R.S., Analysis of Financial Time Series (2nd edition), Wiley-Interscience, 2005
- Tsay, R.S., An Introduction to Analysis of Financial Data with R, Wiley, 2013
R-Links
- General information on R: The R Project for Statistical Computing
- Download and setup of R: The Comprehensive R Archive Network (CRAN)
- Help files for R: R Help, see this link: R Coding Conventions
- Editor for R: Tinn-R
Downloads
- data_sets (1 MByte)
- matlab (97 KByte)
- script_time_series_1 (3 MByte)
- script_time_series_2 (546 KByte)
- script_time_series_3 (5 MByte)
- script_time_series_4 (6 MByte)
- script_time_series_final (7 MByte)