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Estimation and testing of hypothesis with autoregressive processes and moving averages (i.e. ARMA-processes) and with stationary processes. Correlogram, periodogram, spectrum. State-space models (Kalman filter). Illustration on real data.
You learn about the main models and techniques to analyze data where the time dimension is important. This is a useful basis to evaluate how time-correlated data should be treated.
To participate in this course you must have an admission to a Ph.D.-programme at a Norvegian University or University College.
If you do not have an admission to the Ph.D.-Programme in Science at The Faculty of Mathematics and Natural Sciences at UiO, you have to apply for hospitantstatus (norwegian text) . For more information, please contact the Department.
In addition to fulfilling the minimum requirements for entrance to higher education in Norway, you must either have 2MX/2MY/3MZ and 3MX/3FY/3KJ/3BI/(2KJ+3BT)/(2BI+3BT) from Norwegian upper secondary school, or have completed equivalent studies in mathematics as well as physics, or chemistry, or biology at upper secondary school or university level at another educational institution. Read more about fulfilling special requirements.
STK1100 - Probability and statistical modelling, STK1110 - Statistical methods and data analysis 1, STK1120 - Statistical methods and data analysis 2.
10 credits against STK4060 - Time series.
The information about overlaps is not complete. Contact the department for more information if necessary.
3 hours of lectures/exercises per week.
Final written or oral exam depending on number of students. A project can be a part of the final.
Permitted aids at the exam if written: approved calculator.
Students are awarded either a passing or failing grade. The pass/fail scale is applied as an independent scale with only two possible results.
Visiting address:
Niels Henrik Abel's building, Moltke Moes vei
Postal address:
P.O.box 1053, Blindern
NO-0316 Oslo
Visiting hours:
Monday-friday 09:00-14:30
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