MATH-342 / 5 credits

Teacher: Olhede Sofia Charlotta

Language: English

## Summary

A first course in statistical time series analysis and applications.

## Required courses

Probability and Statistics

## Recommended courses

Probability and Statistics for mathematicians.  A course in linear models would be valuable but is not an essential prerequisite.

## Important concepts to start the course

The material from first courses in probability and statistics.

## Learning Outcomes

By the end of the course, the student must be able to:

• Recognize when a time series model is appropriate to model dependence
• Manipulate basic mathematical objects associated to time series
• Estimate parameters of basic time series models from data
• Critique the fit of a time series model and propose alternatives
• Formulate time series models appropriate for empirical data
• Distinguish a range of time series models and understand their properties

## Teaching methods

Ex cathedra lectures and exercises in the classroom and at home.

final exam

## Supervision

 Office hours No Assistants Yes Forum No

No

## Bibliography

Lecturenotes available at https://moodle.epfl.ch/course/view.php?id=15393

## Notes/Handbook

• Brockwell, P. J. and Davis, R. A. (2016) Introduction to Time Series and Forecasting. Third edition. Springer.
• Shumway, R. H. and Stoffer, D. S. (2011) Time Series Analysis and its Applications, with R Examples. Third edition. Springer.
• Tsay, R. S. (2010) Analysis of Financial Time Series. Third edition. Wiley.
• Percival, D.P. and Walden A. T. (1994) Spectral Analysis for Physical Applications. CUP.

## In the programs

• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Time series
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Time series
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Time series
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Time series
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Time series
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Time series
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks
• Semester: Spring
• Exam form: Written (summer session)
• Subject examined: Time series
• Lecture: 2 Hour(s) per week x 14 weeks
• Exercises: 2 Hour(s) per week x 14 weeks

## Reference week

 Mo Tu We Th Fr 8-9 9-10 10-11 11-12 12-13 13-14 14-15 15-16 16-17 17-18 18-19 19-20 20-21 21-22