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Applied Time Series
Last Updated: 2026-02-05 15:54:46
Abstract
The course starts with an introduction to time series analysis (examples, goal, mathematical notation). In the following, descriptive techniques, modeling and prediction as well as advanced topics will be covered.
Objective
Getting to know the mathematical properties of time series, as well as the requirements, descriptive techniques, models, advanced methods and software that are necessary such that the student can independently run an applied time series analysis.
Content
The course starts with an introduction to time series analysis that comprises of examples and goals. We continue with notation and descriptive analysis of time series. A major part of the course will be dedicated to modeling and forecasting of time series using the flexible class of ARMA models. More advanced topics that will be covered in the following are time series regression, time series classification and spectral analysis.
Resources
Lecture Notes
A script will be available.
General Information
- Language
- English
- Levels
- BSC , MSC , WBZ , NDS
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- written 120 minutes
- Aids
- arbitrary written aids, pocket calculator
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture | Applied Time Series |
|
2 h weekly |
| exercise | Applied Time Series |
|
1 h weekly |
Offered In
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Statistics Master (The following courses belong to the curriculum of the Master's Programme in Statistics. The corresponding credits do not count as external credits even for course units where an enrolment at ETH Zurich is not possible.)
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Core Courses (In each subject area, the core courses offered are normally mathematical as well as application-oriented in content. For each subject area, only one of these is recognised for the Master degree.)
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MAS in Sustainable Water Resources (The Master of Advanced Studies in Sustainable Water Resources is a 12 month full time postgraduate diploma programme. The focus of the programme is on issues of sustainability and water resources in Latin America, with special attention given to the impacts of development and climate change on water resources. The programme combines multidisciplinary coursework with high level research. Sample research topics include: water quality, water quantity, water for agriculture, water for the environment, adaptation to climate change, and integrated water resource management. Language: English. Credit hours: 66 ECTS. For further information please visit: )
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Elective Courses (Electives: 6 credits has to be achieved.)
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