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Informatique et Mathématiques appliquées
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> Formation > Cursus ingénieur

Time series analysis - WMMFA42

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  • Number of hours

    • Lectures : 18.0
    ECTS : 1.87

Goals

We study some theoretical aspects of time series.

Contact Jérôme LELONG

Content

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.



Prerequisites

Tests

The exam is given in english only 



N1=E1
N2=E2

Additional Information

This course is given in english only EN

Curriculum->For Financial Engineering->Semester 5

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Université Grenoble Alpes