Time Series Analysis
Prof. Dr. Henryk Zähle
Summer Term 2024
Recommended prerequisites
Basic courses in Analysis and Linear Algebra
Stochastics I and II
Functional Analysis (not necessary, but an advantage)
Exam
oral, after the end of the lecture period
Lectures
Tuesday, 12:15–13:45, in Seminar Room 6 (Building E2 4)
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
Tutorials
by arrangement