Time Series Analysis
Lecture and Tutorial
Lecture (Mittnik):
Tue 2 p.m. - 6 p.m., Geschwister-Scholl-Platz 1 (A) - A U117
April 20 – May 25, 2010
Tutorial (Fuest):
Fri 4 p.m - 8 p.m., Geschwister-Scholl-Platz 1 (D) - D Z007
April 23 – May 28, 2010
Topics
- Overview
- Basic Concepts in Stochastic Processes
- Univariate ARIMA Processes
- Estimation and Prediction for ARIMA Models
- Univariate GARCH Models
- Selected Topics: Long Memory und Fractional Differencing, Threshold-Modelle
Target audience: Advanced bachelor and master students in economics, business, statistics, mathematics and computer science.
Prerequisites: Working knowledge of mathematics (analysis, linear algebra) , basic knowledge of econometrics (Econometrics I) or statistics (linear models).
6 ECTS-Credits / Schein: passing written exam (May 2010)
The first part of the lecture „Multivariate Time Series Analysis“ is equivalent to the lecture „Multivariate Zeitreihen“ (3 ECTS-Credits) for statisticians; the second part can be recognised as „Ausgewählte Gebiete der theoretischen Statistik“ (3 ECTS-Credits).
On Mai 14 and 21 the tutorial will be held in the CIP-Pool of the Department of Statistics. Please ask Christa Jürgensonn (Room 148) for a login if you do not yet have one.
Exam:
Date: June 4, 2010
Time: 4:30 p.m. - 6:30 p.m.
Place: Room M018 (central building)
Duration: 120 minutes
Auxilary material: Calculator, handwritten formulary on 6 sheets (12 pages) of DIN A4 paper (NO copies, NO printouts!).
Registration: Please register for the examination and write an 
E-Mail (name, "MatrikelNummer", major, semester of study) to Andreas Fuest.
For identification issues, please bring along your student ID as well as your personal ID.
Literatur
- 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
R-Links
- General information about R: The R Project for Statistical Computing
- Download and installation: The Comprehensive R Archive Network (CRAN)
- Help sites: R Help, the link to the R Coding Conventions may be important
- R Editor: Tinn-R
- R courses at the Department of Statistics in the summer term 2010: