News
Exam registrationWritten on 06.02.26 by Henryk Zähle Dear Students, If you wish to take the oral examination, please contact me as soon as possible so that we can arrange an appointment. Three tentative dates were agreed upon during the last lecture. Please confirm these dates by email or let me know if you have any alternative… Read more Dear Students, If you wish to take the oral examination, please contact me as soon as possible so that we can arrange an appointment. Three tentative dates were agreed upon during the last lecture. Please confirm these dates by email or let me know if you have any alternative suggestions. Please also keep the official deadlines in mind: You must be registered in LSF at least one week before your exam date. If registration via LSF is not possible, please register through the relevant examination office. Best regards, |
Lecturer: Prof. Dr. Henryk Zähle.
Assistent: Friedrich Leblang, MSc.
Contents
- foundations of functional analysis
- basic time series model
- weakly stationary time series: basics, spectral theory, filtering
- ARMA models
- statistical inference for weakly stationary time series
- prediction methods for weakly stationary time series
Recommended prerequisites
- Basic courses in Analysis and Linear Algebra (e.g. Analysis I-III, Linear Algebra I-II)
- Stochastics I and II
- Functional Analysis (not necessary, but an advantage)
This course is intended for students of Mathematics or Actuarial and Financial Mathematics or Mathematics & Computer Science.
Participation in the course requires a basic education in mathematics and a sound knowledge in measure-theoretic probability theory (as taught in the courses Stochastics I and II).
Language
The course will be held in English unless all participants speak German.
Lectures
Tuesday, 8:30-10.00, in SR 6 (room 2.17) in building E2 4
Course materials are available here.
Tutorial
Wednesday, 12:30-13:15, in SR 1 (room U.37) in building E2 5.
The first tutorial will take place in the fourth week of lectures.
Assignments
There will be weekly assignments, which will be uploaded on Tuesdays. They are available here.
The submission deadline is the following Tuesday at 8:30 am, via CMS.
The solutions will be discussed in the tutorials.
There will be several programming assignments, but these will only be awarded with bonus points.
Exam
At the end of the term, there will be an oral exam.
To be admitted to the exam, you must achieve at least 50% of the total score of the assignments.
Literature
- Kreiß, J.-P. and Neuhaus, G.: Einführung in die Zeitreihenanalyse, Springer
- Brockwell, P.J. and Davis, R.A.: Time Series: Theory and Methods, Springer
These books can be found on the digital Course Reference Shelf that is kindly provided by the Campusbibliothek für Informatik und Mathematik.