TMA4285 Time Series Models, Autumn 2013

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.