Course teacher(s)
Yves-Caoimhin SWAN (Coordinator)ECTS credits
5
Language(s) of instruction
english
Course content
- Chapter 1: Stationary time series
- Chapter 2: Hilbert spaces
- Chapter 3: ARMA processes
- Chapter 4: Time series data analysis
- Chapter 5: Estimation of the mean and autocovariance function
- Chapter 6: Parameter estimation for ARMA models
- Chapter 7: GARCH models
- Chapter 8: Further topics
Objectives (and/or specific learning outcomes)
A thorough understanding of the mathematical aspects linear time series methods and their manipulation with R software.
Teaching methods and learning activities
The theoretical course rests on slides accompanied by an oral presentation. Exercise sheets are provided, along with detailed corrections (both for the mathematical developments as well as the R solutions). You are expected to solve the exercises by yourselves; office hours will be organised (on a scheduled basis) for you to ask your questions.
All information will be provided via the UV and Teams and all other appropriate communication channels.
Contribution to the teaching profile
Within the "Profil d'enseignement Master en Sciences mathématiques", this course contributes to most items of
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1- Constituer, développer et entretenir des connaissances dans différents domaines des sciences mathématiques
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2- Résoudre des problèmes en acteur scientifique
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1- Constituer, développer et entretenir des connaissances dans différents domaines des sciences actuarielles
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2- Résoudre des problèmes en acteur scientifique
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1- Constituer, développer et entretenir des connaissances dans différentes disciplines scientifiques
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2- Résoudre des problèmes en acteur scientifique
References, bibliography, and recommended reading
Bibliography
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Brockwell, P.~J., Davis, R.A., and Fienberg, S.E. (1991). Time Series: Theory and Methods: Theory and Methods. Springer Science & Business Media.
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Shumway, R.~H. and Stoffer, D.~S. (2017). Time series analysis and its applications: with R examples. Springer.
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Neusser, K. et~al. (2016). Time series econometrics. Springer.
Course notes
- Podcast
- Syllabus
- Université virtuelle
Other information
Contacts
Yvik Swan
mail: yvik.swan@ulb.be
phone: 02/650.58.86
Campus
Plaine
Evaluation
Method(s) of evaluation
- written examination
written examination
All information will be provided via the UV and during class.
Mark calculation method (including weighting of intermediary marks)
All information will be provided via the UV and during class.
Language(s) of evaluation
- english