Welcome to the course.
The schedule for the course can be found via the link to
webTimeEdit top of the page.
The
course representatives for the course are:
Mattias Danielsson and Joel Jonsson (MPENM), Anna Magnusson and Cajsa Olsson (TKIEK), Villem Armulik and Luqueri Gustafsson (GU)
14/4:
Project 1 is online and due on May 2, 23:59. The project is passed if reasonable solutions to all questions are handed in.
27/4: Note that there will be no email support over the weekend for Project 1.
28/4: Questions concerning Project 1 that were discussed in detail in
the lecture or excercise class are no longer answered by email.
2/5:
Project 2 is online and
due on May 23, 23:59. The project is passed if reasonable solutions to
all questions are handed in. Keep in mind to start working on your
project in good time to follow the discussions on frequently asked
questions in the lectures and the exercise classes.
2/5: Be reminded that there is a lecture on Tuesday, May 3 instead of
an exercise class. The lecture on Friday, May 13 is canceled.
10/5: Due to sickness, Carls lecture on Thursday, May 12 has to be canceled.
11/5: The lecture notes are updated and the typo that caused problems in the project is removed.
23/5: A typo in Method 3.2.11 was corrected and the new version of the
lecture notes is online. This might help with the current project.
26/5: As announced in the lecture, Project 2 is marked and handed back
according to the FIFO (first in first out) principle. The last date to
submit a revision that can pass is Friday, June 10, which is the same
date as for Project 1.
27/5: Do not forget to fill out the online evaluation to get
statistically relevant data for the final evaluation meeting on
Tuesday, June 7, 9:00 in MVL14. Everybody who is interested is welcome
to join. Please also feel free to fill out the evaluation right now (as
many did in today's last lecture) and ignore the question about the
exam. There will be hardly any time after the exam to participate in
the evaluation. Thank you for your cooperation in advance!
30/5: As discussed in the beginning of the lecture it is allowed to
bring 4 pages (2 sheets) of your own handwritten notes and a simple
calculator to the exam. This information was now also added online.
20/6: The
exam is marked now according to this
solution. If you remember your code, you can look up your result
here. Recall that you need 30 points to pass (GU: 30 for G, 45 for VG; Chalmers: 30 for 3, 40 for 4, 50 for 5).
31/8: The re-exam is marked and the results with respect to the code can be found
here. Recall that you need 30 points to pass (GU: 30 for G, 45 for VG; Chalmers: 30 for 3, 40 for 4, 50 for 5).
12/1: The re-re-exam is marked and the results with respect to the code can be found
here. Recall that you need 30 points to pass (GU: 30 for G, 45 for VG; Chalmers: 30 for 3, 40 for 4, 50 for 5).
Course coordinator:
Annika Lang
Email: annika.lang@chalmers.se
Office: MVL2086
Teaching assistant:
Andreas Petersson
Email: andreas.petersson@chalmers.se
- [BD] P. J. Brockwell, R. A. Davis: Introduction to Time Series and Forecasting, 2nd edition
- [LMN] E. Lindström, H. Madsen, J. N. Nielsen: Statistics for Finance
- [T] R. S. Tsay: Analysis of Financial Time Series, 3rd edition
Additionally
lecture notes will be provided in parallel.
You might also be interested in:
Exercises to prepare for the exercise class
Week |
Exercises
|
15
|
[BD] 1.1, 1.3, 1.6 and extra exercises 2, 9a)
|
16
|
[BD] 1.4, 1.7, 2.1, 2.2, 2.3, 2.4, 2.14ab, 2.15, 2.18, 2.21 and Example 2.3.8 from the lecture notes (MA(1)-prediction).
|
17
|
[BD] 1.9a, 1.10, 1.11, 1.15, 2.20
|
19
|
[BD] 3.1, 3.3, 3.4, 3.6, 3.11, 5.3, 5.4abde and PACF for AR(p)-process.
|
20
|
[BD] 5.8, 5.11, 5.12, 6.1.
|
21
|
[BD] Exercise 2 from the recommended exercises for this week.
|
Note that exercises marked in
bold are discussed on the blackboard in the exercise session.
Basic
knowledge in probability theory and mathematical statistics. The
assumed background is summarized in Chapter 1 of the
lecture notes.
Each student is responsible to make sure that he/she is familiar with
this content.
To
pass the course two projects (each 2.5 hp) have to be handed in and
passed in groups of up to two students. These are graded with pass (G)
and fail (U). Furthermore a written exam (2.5 hp) has to be passed with
at least 50% of the overall points which is graded with VG/G/U for GU
students and 5, 4, 3, U for Chalmers students. The overall grade of the
course is
determined by the exam but to pass the course with 7.5 hp all three
components have to be passed. Solutions and reports for home
assignments should be sent as written on the problem sheet. Solutions
or reports sent later than the deadlines will not be graded and are
"failed". Each student is responsible on his/her own that his/her own
theoretical homework is submitted before the deadline. For the exam you
are allowed to bring four pages (two sheets) of your own handwritten
notes and a simple calculator (which will not be necessary to solve the
exam).
In
Chalmers Student Portal you can read about when exams are
given and what rules apply on exams at Chalmers.
At the link
Schedule
you can find when exams are given for courses at University of
Gothenburg.
At the exam, you should be able to show valid identification.
Before the exam, it is important that you report that you want to
take the examination. If you study at Chalmers, you will do this
by the
Chalmers Student Portal, and if you study at University of
Gothenburg, so sign up via
GU's
Student Portal.
You can see your results in Ladok by logging on to the Student
portal.
At the annual examination:
When it is practical a separate review is arranged. The date of
the review will be announced here on the course website. Anyone
who can not participate in the review may thereafter retrieve and
review their exam on Mathematical sciences study expedition,
Monday through Friday, from 9:00 to 13:00. Check that you have the
right grades and score. Any complaints about the marking must be
submitted in writing at the office, where there is a form to fill
out.
At re-examination:
Exams are reviewed and picked up at the Mathematical sciences
study expedition, Monday through Friday, from 9:00 to 13:00. Any
complaints about the marking must be submitted in writing at the
office, where there is a form to fill out.