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105.121 Introduction to stochastic processes and time series
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2022S, UE, 1.0h, 1.5EC
TUWEL

Properties

  • Semester hours: 1.0
  • Credits: 1.5
  • Type: UE Exercise
  • Format: Presence

Learning outcomes

After successful completion of the course, students are able to

  • manipulate Brownian motions,
  • compute (simple) Ito integrals,
  • compute entrance time, entrance probabilities and other properties of Markov chains,
  • check the stationarity of stochastic processes,
  • compute autocovariance function and other properties of stationary processes,
  • estimate AR processes,
  • compute linear forecasts.,
  • ...

Subject of course

This course provides some further insights into the concepts and methods presented in the lecture. This problem solving course will include theoretical examples as well as applications to simulated and real world data sets.

Teaching methods

Exercise sessions.

Mode of examination

Immanent

Additional information

The course is planned entirely in presence. Changes are possible due to the current COVID situation.

Lecturers

Institute

Examination modalities

The completed problems have to be marked in TUWEL. Grade distribution:

  • more than 80% "sehr gut"
  • 71-80% "gut"
  • 61-70% "befriedigend"
  • 51-60% "genügend"
  • less than 51% "nicht genügend".

Group dates

GroupDayTimeDateLocationDescription
Gruppe AMon14:00 - 15:0014.03.2022 - 27.06.2022FH Hörsaal 2 105.121 Introduction to stochastic processes and time series Gruppe A
Gruppe BMon15:00 - 16:0014.03.2022 - 27.06.2022FH Hörsaal 2 105.121 Introduction to stochastic processes and time series Gruppe B
Gruppe CMon15:00 - 16:0014.03.2022 - 27.06.2022Sem.R. DA grün 05 105.121 Introduction to stochastic processes and time series Gruppe C

Course registration

Use Group Registration to register.

Group Registration

GroupRegistration FromTo
Gruppe A05.02.2022 00:0009.03.2022 23:59
Gruppe B05.02.2022 00:0009.03.2022 23:59
Gruppe C05.02.2022 00:0006.03.2022 23:59

Curricula

Literature

Brzezniak, Zdzislaw; Zastawniak, Tomasz Basic stochastic processes. A course through exercises. Springer Undergraduate Mathematics Series. Springer-Verlag London, Ltd., London, 1999.

Norris, J. R. Markov chains. Reprint of 1997 original. Cambridge Series in Statistical and Probabilistic Mathematics, 2. Cambridge University Press, Cambridge, 1998.

Deistler, Manfred; Scherrer, Wolfgang. Modelle der Zeitreihenanalyse. Mathematik Kompakt,  Birkhäuser, 2018.

Previous knowledge

Basic knowledge of probability theory, random variables, expectation, variance, covariance, ...

Accompanying courses

Miscellaneous

  • Attendance Required!

Language

German