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training duration icon Statistics - Time Series Analysis

Duration: 2 Days
Delivery Type: Classroom
Target Audience: Data Analysts
Course Number: 2020631
Method: Lecture with examples and exercises.
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Topicsss

A. Univariate analysis of time series data

[Duration: 0.25 Days] Estimation of the moment-generating functions (expected value, auto-covariance) - auto-correlation: the lag operator, creating and interpretating the correlogram - smoothing of time series data: moving averages, exponential smoothing - transformation and filtering of time series data - first-order and second-order differences

B. Decomposition of time series using deterministic models

[Duration: 0.5 Days] Component models: additive and multiplicative models - seasonal structures in time series: trend, seasons and identification of the seasonal pattern, prognosis and residual analysis - level shifts - linear, parabolic, logistic, exponential fit and regression of time series - polynomials - quality measures

C. Periodicities in time series

[Duration: 0.25 Days] Trigonometric functions and their importance for periodic trends - period detection and frequencies - periodogram: identification and interpretation - regression models with periodic oscillations - spectra and spectral density estimation of time series - introduction to Fourier transformation for time series

D. Univariate linear time series models using AR(I)MA

[Duration: 0.25 Days] Stationarity in time series - White Noise process - AR (Auto Regressive)-models - MA (Moving Average)-models - ARMA and ARIMA models - forecasting - residual analysis - statistical tests for linear time series models - quality measures and model selection

E. Analysis of multidimensional time series

[Duration: 0.25 Days] Cross-correlation and cross-covariance - stationary cross-covariance - co-integration - introduction to cross-spectral analysis and coherence analysis

F. Multidimensional time series using VAR

[Duration: 0.25 Days] VAR (Vector AutoRegressive) processes: modeling, prediction, residual analysis, quality measures, tests

G. Time series with exogenous influences

[Duration: 0.25 Days] Regression with auto-correlated shocks - intervention analysis - transfer function models

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For trainings with hands-on labs you are kindly requested to bring your own laptop with the required software. Alternatively, you can use our virtual machines (VMWare) for the MS Windows OS.
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