Welcome to the course.
The schedule for the course can be found via the link to
webTimeEdit top of the page.
Two extra lectures (due to public holidays) are decided to be on 22/4, 10.00  12.00 and 23/4 13.00  15.00 in Euler.
Be aware that we are in EB, EDIT hus instead of Euler on 28/5.
If you happen to have another exam at 2/6, 14.00, you are welcome to do a double examinations. Click
here for details on the procedure. If you have further questions, please contact me.
The student representatives for the course are (in alphabetical order) Fredrik Leife (
leifef),
Jakob Udesen (udesen), Emma Woxlin (wemma), and Xuefei Zhang (xuefei),
where you should add '@student.chalmers.se' to get the email addresses,
if you want to contact one of them.
We agreed on the halfway evaluation meeting that there will be a few
(theoretical) exercises published here that the students
prepare and that will be discussed on Friday, May 22 for 45
minutes to get an idea of possible exam questions and how to solve them. We
further agreed that the students prepare questions that will be
discussed in the last lecture on 29/5.
A first version of the lecture notes is online.
I marked Problem 1 & 2 of Project 1. Having finished that everybody
who handed in passed Project 1. Please let me know by email if you are
interested in picking up your fully marked solution, then I will also
mark Problem 3 for you.
The exam is marked. If you know your anonymos code, you can look up your achieved points here.
The grades for Chalmers are
3: 30  39.5 points,
4: 40  49.5 points,
5: 50  60 points.
The grades for GU are
G: 30  44.5 points,
VG: 45  60 points.
Project 2 is marked and everybody who handed in, passed it. Since
Problem 3 was not solvable with the given background, everybody who
tried it got full points. The marking of Problem 2 was also adapted due
to many misunderstandings.
June 24, 2015: The grades are finally available in Ladok, so please have a look if you have not remembered your anonymos code so far.
Please do not forget to fill out the
evaluation constructively to help to develop the course for the future!
Thank you for your help in advance!
Course coordinator:
Annika Lang
Email: annika.lang@chalmers.se
Office: MVL2086
[BD] P. J. Brockwell, R. A. Davis: Introduction to Time Series and Forecasting, 2nd edition
[T] R. S. Tsay: Analysis of Financial Time Series, 3rd edition
A first draft of the
lecture notes (June 3: complete)
You might also be interested in
the
slides from last year
lecture notes written by J. Grandell at KTH
Lectures
Week 
Chapter

Contents

13(1)

[T] 1, 2.1 [BD] 11.4

Introduction to time series, stationarity, autocorrelation

13(2)

[T] 2.22.4 [BD] 1.4, 2.4, 2.5

Testing for autocorrelation, forecasting stationary time series

14

[T] 2.8 [BD] 2.5, 2.6, 1.5

Innovations algorithm, Wold decomposition, trend and seasonality

17(1)

[T] 2.42.6 [BD] 2.2, 3.1, 3.2

Linear time series models, ARMA models, computation of ACVF and PACF

17(2)

[T] 2.42.6 [BD] 5.1, 5.2

Parameter estimation for ARMA models

17(3)

[T] 2.42.6 [BD] 5.5, 3.3, 5.4

Order selection and forecasting of ARMA models

17(4)

[T] 2.7 [BD] 3.3, 6

Forecasting (approximation) of ARMA, ARIMA models

18

[T] 3

ARCH and GARCH processes

19(1)

[T] 4.1, 4.1.1, 4.1.4, 4.1.5

Nonlinear models, Nonparametric methods

19(2)

[T] 4.1.5, 4.2, 4.4.1

Nonparametric methods, Nonlinearity tests, forecasting of nonlinear models

21(1)

[T] 4.4.2, 7.1, 7.2

Forecasting evaluation of nonlinear models, value at risk

21(2)


discussion of these problems

22(1)

[T] 7.47.6

extreme value theory, value at risk

22(2)


exam preparation

Recommended exercises
Week 
Excersises

13

see lecture

14

start the project!

17

[T] 2.2 [BD] 3.1, 3.4, 3.6, 3.8, 3.11, 5.3, 5.4, 5.6, 5.7, 5.8, 5.10, 5.11, 6.1, 6.2, 6.5

18

[T] 3.13.4

19

[T] 4.3, 4.4

21

"Theoretical Questions"

22




The recommended exercises just include theoretical questions, since the
final exam will have no simulation component. Nevertheless, you are
welcome to solve also the computer problems from the books in addition
to the projects. Besides the recommended exercises written down in the
table, I regulary include exercise questions in the lecture.
Two assignments will be posted here.
Project 1: deadline May 8, 2015, 8AM
Project 2: deadline May 27, 2015, 10PM
Examination will be two theoretical/practical home assignments and a
written exam at June 2, 14.0018.00. Home assigments may be done in
groups of size 2 or less. 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.
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 reexamination:
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.