Time Series Analysis, 7.5 Credits

Contents

The main purpose of the course is that the student should be well aquainted with the basic notions, theory, models and methods for solutions, in time series analysis. The course covers models for time dependent data. Such data frequently occurs in financial (e.g. the price development of a merchandise) and scientific (e.g. metheorological observations, radar signales) applications.

The course consists of two parts.

Module 1 (6,5 hp) Theory. The module consists of the general theory of time series, stationary and non-stationary models, e.g. ARMA- and ARIMA-models, prediction of time series, spectral theory, parameter estimation, spectrum and filtration.

Module 2 (1 hp) Lab Assignments. The module consists of analysis of time series and spatial data using suitable software.

Expected learning outcomes

For a passing grade, the student must be able to

Knowledge and understanding

• independently define the notions expectation, covariance function and spectral distribution for time series
• independently define parametric ARMA models
• thoroughly explain how ARMA-models can be expanded to ARIMA-, SARIMA-, ARCH- and GARCH-models
• describe state-space and multivariate models in general terms

Skills

• identify trends and seasonal variation in time series
• derive and estimate expectation, covariance function and spectral distribution for time series, analyse their connections, and derive the uncertainty of the estimates
• utilize parametric and extended ARMA models to real data and validate the results
• predict the future of observed time series of different lengths, and critically evaluate the results

Judgement and approach

• clearly present the reults from time series analyses, and evaluate the resultats from a scientific perspective

Required Knowledge

The course requires 90 ECTS including one of the following options or equivalent knowledge

- minimum 12 ECTS in Mathematical Statistiscs or
- minimum 6 ECTS in Mathematical Statistics and a course in Transform Methods minimum 7,5 ECTS or
- minimum 75 ECTS in Statistics 

In all options we also require a course in Basic Caculus minimum 7,5 ECTS. Proficiency in English and Swedish equivalent to the level required for basic eligibility for higher studies.

Form of instruction

The teaching mainly consists of lectures and lessons.

Examination modes

Module 1 is examined  by a written exam. Module 2 is examined by written lab reports (U/G).
On module 1, one of the following judgements is assigned: Fail (U), Pass (G) or Pass with distinction (VG). On module 2, one of the following judgements is assigned: Fail (U) or Pass (G). For the whole course, one of the following grades is assigned: Fail (U), Pass (G) or Pass with distinction (VG). In order to receive a passing grade on the course, all parts must be completed with a passing judgement. The course grade is decided by the grade on Module 1, and is assigned only when all mandatory examination has been completed. A student who has received a passing grade on a test is not allowed to retake the test in order to receive a higher grade.

Examiners may decide to deviate from the modes of assessment in the course syllabus. Individual adaption of modes of assessment must give due consideration to the student's needs. The adaption of modes of assessment must remain within the framework of the intended learning outcomes in the course syllabus. Students who require an adapted examination must submit a request to the department holding the course no later than 10 days before the examination. The examiner decides on the adaption of the examination, after which the student will be notified.

A student who has not received a passing grade after participating in two tests has the right to be assigned another examiner, unless there are certain circumstances prohibiting this (see the Higher Education Ordinance, chapter 6, 22§). A request to be assigned another examiner should be adressed to the head of department for the department of mathematics and mathematical statistics. The possibility of being examined based on the current version of the syllabus is guaranteed for at least two years following the student's first participation in the course.

Credit transfer
All students have the right to have their previous education or equivalent, and  their working life experience evaluated for possible consideration in the corresponding education at Umeå university. Application forms should be adressed to Student services/Degree evaluation office. More information regarding credit transfer can be found on the student web pages of Umeå university, http://www.student.umu.se, and in the Higher Education Ordinance (chapter 6). If denied, the application can be appealed (as per the Higher Education Ordinance, chapter 12) to Överklagandenämnden för högskolan. This includes partially denied applications.

Other regulations

This course can not be included in a degree together with another course with similar contents. When in doubt, the student should consult the director of study at the department of mathematics and mathematical statistics.

In the event that the syllabus ceases to apply or undergoes major changes, students are guaranteed at least three examinations (including the regular examination opportunity) according to the regulations in the syllabus that the student was originally registered on for a period of a maximum of two years from the time that the previous syllabus ceased to apply or that the course ended.