MATH-342 / 5 crédits

Enseignant: Olhede Sofia Charlotta

Langue: Anglais

## Summary

A first course in statistical time series analysis and applications.

## Required courses

Probability and Statistics

## Recommended courses

Probability and Statistics for mathematicians.  A course in linear models would be valuable but is not an essential prerequisite.

## Important concepts to start the course

The material from first courses in probability and statistics.

## Learning Outcomes

By the end of the course, the student must be able to:

• Recognize when a time series model is appropriate to model dependence
• Manipulate basic mathematical objects associated to time series
• Estimate parameters of basic time series models from data
• Critique the fit of a time series model and propose alternatives
• Formulate time series models appropriate for empirical data
• Distinguish a range of time series models and understand their properties

## Teaching methods

Ex cathedra lectures and exercises in the classroom and at home.

## Assessment methods

final exam & mid term assessed coursework - counts for 15%

Dans le cas de l'art. 3 al. 5 du Règlement de section, l'enseignant décide de la forme de l'examen qu'il communique aux étudiants concernés.

## Supervision

 Assistants Yes Forum No

## Bibliography

Lecturenotes available at https://moodle.epfl.ch/course/view.php?id=15393

## Notes/Handbook

• Brockwell, P. J. and Davis, R. A. (2016) Introduction to Time Series and Forecasting. Third edition. Springer.
• Shumway, R. H. and Stoffer, D. S. (2011) Time Series Analysis and its Applications, with R Examples. Third edition. Springer.
• Tsay, R. S. (2010) Analysis of Financial Time Series. Third edition. Wiley.
• Percival, D.P. and Walden A. T. (1994) Spectral Analysis for Physical Applications. CUP.

## Dans les plans d'études

• Semestre: Printemps
• Forme de l'examen: Ecrit (session d'été)
• Matière examinée: Time series
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Semestre: Printemps
• Forme de l'examen: Ecrit (session d'été)
• Matière examinée: Time series
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Semestre: Printemps
• Forme de l'examen: Ecrit (session d'été)
• Matière examinée: Time series
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Semestre: Printemps
• Forme de l'examen: Ecrit (session d'été)
• Matière examinée: Time series
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Semestre: Printemps
• Forme de l'examen: Ecrit (session d'été)
• Matière examinée: Time series
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Semestre: Printemps
• Forme de l'examen: Ecrit (session d'été)
• Matière examinée: Time series
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Semestre: Printemps
• Forme de l'examen: Ecrit (session d'été)
• Matière examinée: Time series
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Semestre: Printemps
• Forme de l'examen: Ecrit (session d'été)
• Matière examinée: Time series
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines

## Semaine de référence

 Lu Ma Me Je Ve 8-9 9-10 10-11 11-12 12-13 13-14 14-15 CM5 15-16 16-17 CE1105 17-18 18-19 19-20 20-21 21-22

Mercredi, 14h - 16h: Cours CM5

Jeudi, 16h - 18h: Exercice, TP CE1105

## Cours connexes

Résultats de graphsearch.epfl.ch.