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