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Instructors: Prof. Dr. Natalie Neumeyer
Event type:
Lecture
Displayed in timetable as:
M-MSAT-V
Hours per week:
2
Language of instruction:
English
Min. | Max. participants:
- | -
Comments/contents:
Recommended prior lectures: bachelor: "Mathematische Stochastik", "Maßtheoretische Konzepte der Stochastik", "Mathematische Statistik"
master: "Time Series Models"
Contents: Estimating parameters in time series models, e.g. in ARMA models, estimating the spectral density of time series, asymptotic properties, application to estimators, confidence intervals and hypotheses testing
Learning objectives:
Knowledge of various statistical methods for time series and their interpretation in important application situations, knowledge of mathematical methods for deriving asymptotic properties of time series
Didactic concept:
The lecture is given only in the second half of the semester and continues the lecture "Time Series Models".
Literature:
Lecture notes will be provided.
Recommended literature:
P.J. Brockwell, R.A. Davis, 2002, "Introduction to time series and forecasting'', Springer
P.J. Brockwell, R.A. Davis, 1998, "Time series: theory and methods''
J.-P. Kreiß, G. Neuhaus, 2006, "Introduction to time series analysis'', Springer
R.H. Shumway, D.S. Stoffer, 2000, "Time series analysis and its applications'', Springer
Additional examination information:
oral exams
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