TMA4285 Time Series Models, Autumn 2013

Lecture plan

The chapter numbers referred to below is in "Wei, W.W.S. (2006). Time series analysis. Univariate and multivariate methods, 2nd edn, Pearson Addison Wesley".

  • Week 34: Chapt. 1-2, Stochastic processes and autocorrelation.
  • Week 35-36: Chapt. 3, Stationary time series models.
  • Week 37: Chapt. 4, Nonstationary time series models.
  • Week 38-39: Chapt. 5, Forecasting.
  • Week 40: Chapt. 6.1-6.2,6.4, Model identification, parameter estimation.
  • Week 41-42: Chapt. 7.1-7.2.1,7.2.3-7.5, Diagnostic checking, model selection.
  • Week 43: Chapt. 8, Seasonal time series.
  • Week 44: Chapt. 15, Time series regression and garch models.
  • Week 45-46: Chapt. 18.1-1.2,18.5, State space models and the Kalman filter.
  • Week 47: Course summary.
2013-06-19, HÃ¥kon Tjelmeland