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Abstract
Introduction to time series analysis: examples, goals and mathematical notation. Descriptive techniques, modelling and prediction.
Objective
Getting to know the mathematical properties of time series, as well as the requirements, descriptive techniques, models 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.
Resources
Lecture Notes
A script will be available.