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STAT-F405

Time series analysis 1

academic year
2020-2021
The health crisis linked to the spread of Covid-19 constitutes grounds of force majeure constraining the University to adapt the assessment methods for some of the course units; Information on the new terms of these assessments will be provided to students through the usual information channels by December 4, 2020.

Course teacher(s)

Yves-Caoimhin SWAN (Coordinator)

ECTS credits

5

Language(s) of instruction

english

Course content

Table of contents
  • Chapter 1: Stationary time series

  • Chapter 2: Hilbert spaces

  • Chapter 3: ARMA processes

  • Chapter 4: Time series data analysis

  • Chapter 5: Estimation of the mean and autocovariance function

  • Chapter 6: Parameter estimation for ARMA models

  • Chapter 7: Further topics

Objectives (and/or specific learning outcomes)

A thorough understanding of the mathematical aspects linear time series methods and their manipulation with R software.

Teaching methods and learning activities

The theoretical course rests on slides accompanied by an oral presentation. Exercise sheets are provided, along with detailed corrections (both for the mathematical developments as well as the R solutions). You are expected to solve the exercises by yourselves; office hours will be organised for you to ask your questions. 

In light of the sanitary situation, the course will be taught online.

All information will be provided via the UV and Teams and all other appropriate communication channels.

Contribution to the teaching profile

Within the "Profil d'enseignement Master en Sciences mathématiques", this course contributes to most items of

  • 1- Constituer, développer et entretenir des connaissances dans différents domaines des sciences mathématiques

  • 2- Résoudre des problèmes en acteur scientifique

Within the "Profil d'enseignement Master en Sciences actuarielles", this course contributes to most items of
  • 1- Constituer, développer et entretenir des connaissances dans différents domaines des sciences actuarielles

  • 2- Résoudre des problèmes en acteur scientifique

Within the "Profil d'enseignement Master en Sciences des données", this course contributes to most items of
  • 1- Constituer, développer et entretenir des connaissances dans différentes disciplines scientifiques

  • 2- Résoudre des problèmes en acteur scientifique

References, bibliography, and recommended reading

Bibliography

  • Brockwell, P.~J., Davis, R.A., and Fienberg, S.E. (1991). Time Series: Theory and Methods: Theory and Methods. Springer Science & Business Media.

  • Shumway, R.~H. and Stoffer, D.~S. (2017). Time series analysis and its applications: with R examples. Springer.

  • Neusser, K. et~al. (2016). Time series econometrics. Springer.

Course notes

  • Podcast
  • Syllabus
  • Université virtuelle

Other information

Contacts

Yvik Swan
mail: yvik.swan@ulb.be
phone: 02/650.58.86

Campus

Plaine

Evaluation

Method(s) of evaluation

  • Other

In light of the current sanitary situation, the evaluation method will have to be adapted according to the possibilities. All information will be provided via the UV and during class.

Mark calculation method (including weighting of intermediary marks)

In light of the current sanitary situation, the evaluation method will have to be adapted according to the possibilities. All information will be provided via the UV and during class.

Language(s) of evaluation

  • english

Programmes