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| Version 2013-2014 |
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| SDOC0032-1 | Analysis of time series
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| Duration : | 20h Th |
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| Number of credits : |
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| Lecturer : | Samuel Nicolay |
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Language(s) of instruction :
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| French language |
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Course contents :
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| The aim of the time series analysis is to studying variables over time. Time series are used in astronomy, meteorology, econometry and financial mathematics.
There are several types of data analysis available for time series which are appropriate for different purposes.
General exploration
- Graphical examination of data series
- Autocorrelation analysis
- Spectral analysis
Description
- Separation into components representing trend, seasonality, slow and fast variation
- Simple properties of marginal distribution
Prediction and forecasting
- Fully formed statistical models for stochastic simulation purposes.
- Simple or fully formed statistical models to describe the likely outcome of the time series.
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Learning outcomes of the course :
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| The aim of the course is to provide the tools that are necessary to perform basic time series analysis.
The student should be able to solve autonomously typical problems of the time series analysis. |
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Prerequisites and co-requisites/ Recommended optional programme components :
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| General mathematic course |
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Planned learning activities and teaching methods :
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| The exercises are directed by the assistants. The student will put the notions taught during the course into practise. |
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Mode of delivery (face-to-face ; distance-learning) :
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| The course will be given following the timetable available at the beginning of the academic year |
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Recommended or required readings :
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Assessment methods and criteria :
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| The exam consists in solving problems given at the beginning of the exam. |
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Work placement(s) :
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Organizational remarks :
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Contacts :
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| S. Nicolay
Analyse mathématique
Institut de Mathématique - Grande Traverse, 12 - Sart Tilman -Bât. B 37 - 4000 LIEGE 1
email: S.Nicolay@ulg.ac.be |
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