Ensimag Rubrique Formation 2022

Time Series Analysis - WMM9AM14

  • Number of hours

    • Lectures 18.0
    • Projects -
    • Tutorials -
    • Internship -
    • Laboratory works -
    • Written tests -

    ECTS

    ECTS 3.0

Goal(s)

We study some theoretical aspects of time series.

Responsible(s)

Alain LATOUR

Content(s)

The course rests on two main axes.
To introduce the subject, a few examples are discussed at the beginning of the course.

The first part is mainly concerned with the basic theoretical aspects of time series.
The basic concepts are introduced, namely the notion of stochastic processes, stationarity, mean and autocovariance of such processes.

Then we dwell on the notion of observed trend in time series. Traditional models are studied and we discussed the notion of invertibility. In a natural way, the non-stationary time series are introduced.

In the second part, more applied, we are concerned mainly with the determination a model and estimation of the parameters with the aim of forecasting the values ??of the series.

Test

The exam is given in english only FR

Calendar

The course exists in the following branches:

    see the course schedule for 2020-2021

    Additional Information

    Course ID : WMM9AM14
    Course language(s): FR

    You can find this course among all other courses.