Applied Time Series – SS 2019
People:
Lecturer:
Dr. Marcel Dettling
(
[email protected]
)
Assistants:
Meta-Lina Spohn
(
[email protected]
)
Organization:
This course on Applied Time Series Analysis features two lectures per week, with
bi-weekly exercises that also comprise two lessons. It will be awarded with 5 ECTS
credits. The focus lies on correctly applying time series methodology on real world data for
gaining new insight. Technical details and mathematical concepts will be covered on a
basic level that is accessible to the heterogeneous audience consisting of students from
bachelor, master and doctoral programs of various faculties.
Lectures:
Lectures
for all students
will be held on Mondays from 10.15-11.55 at ETH Zentrum,
room HG E1.2. Theory and examples will be shown on power point slides and the
blackboard. Also, a script is available. The tentative schedule is as follows:
Week Date
L/L
Topics
01
18.02.2019
L/L
Introduction; Goals; Stationarity
02
25.02.2019
L/L
Visualization; Transformation; Decomposition
03
04.03.2019
L/L
Autocorrelation: Concept, Estimation, Properties
04
11.03.2019
L/L
Partial Autocorrelation; Time Series Models
05
18.03.2019
L/L
Autoregressive Models: Estimation, Inference
06
25.03.2019
L/L
Moving Average and Combined ARMA Models
07
01.04.2019
L/L
Time Series Regression
08
08.04.2019
L/L
SARIMA Models
09
15.04.2019
L/L
Forecasting Stationary Time Series
---
22.04.2019
-/-
Easter Break
10
29.04.2019
L/L
Forecasting Series with Trend and Seasonality
11
06.05.2019
L/L
