- Linear regression models,
- Methods of least squares and maximum likelihood estimation,
- Confidence bands for regression curves,
- Tests for regression parameters (t and F tests), likelihood-ratio test,
- Model validation with residual analysis,
- Data adaptive choice of models (stepwise regression, R² and Mallows C_p),
- Variance analysis (ANOVA),
- Stationary stochastic processes in discrete time,
- Autocovariances, projection-valued measure and spectral density,
- Linear processes, especially ARMA models,
- Estimator for ARMA parameters (Yule-Walker, least squares, CML),
- Data adaptive choice of models with AIC, BIC and FPE,
- Time series with trend or seasonality (SARIMA),
- Prediction of time series.
Module MAT-60-12-M-4
Regression and Time Series Analysis (M, 9.0 LP)
Module Identification
Module Number | Module Name | CP (Effort) |
---|---|---|
MAT-60-12-M-4 | Regression and Time Series Analysis | 9.0 CP (270 h) |
Basedata
CP, Effort | 9.0 CP = 270 h |
---|---|
Position of the semester | 1 Sem. in SuSe |
Level | [4] Bachelor (Specialization) |
Language | [EN] English |
Module Manager | |
Lecturers | |
Area of study | [MAT-STO] Stochastics/Statistics/Financial Mathematics |
Reference course of study | [MAT-88.105-SG] M.Sc. Mathematics |
Livecycle-State | [NORM] Active |
Courses
Type/SWS | Course Number | Title | Choice in Module-Part | Presence-Time / Self-Study | SL | SL is required for exa. | PL | CP | Sem. | |
---|---|---|---|---|---|---|---|---|---|---|
4V+2U | MAT-60-12-K-4 | Regression and Time Series Analysis
| P | 84 h | 186 h |
U-Schein
| - | PL1 | 9.0 | SuSe |
- About [MAT-60-12-K-4]: Title: "Regression and Time Series Analysis"; Presence-Time: 84 h; Self-Study: 186 h
- About [MAT-60-12-K-4]: The study achievement [U-Schein] proof of successful participation in the exercise classes (ungraded) must be obtained.
Examination achievement PL1
- Form of examination: oral examination (20-30 Min.)
- Examination Frequency: each semester
- Examination number: 84330 ("Regression and Time Series Analysis")
Evaluation of grades
The grade of the module examination is also the module grade.
Contents
Competencies / intended learning achievements
The students have studied and understand standard models, estimation procedures, test procedures and forecasting methods of regression, variance and time series analysis. They will know exemplary mathematical methods required for data-driven selection and validation of models in complex application scenarios.
They understand the proofs presented in the lecture and are able to comprehend and explain them.By completing the exercises, the students have developed a skilled, precise and independent handling of the terms, propositions and techniques taught in the lecture. They are familiar with the software forstatistics and they are able to apply independently models and techniques taught in the lecture on real and simulated data.
Literature
- J. Franke: Grundlagen der Statistik,
- J. Franke: Time Series Analysis;
- L. Breiman: Statistics,
- P. Bickel, K. Doksum: Mathematical Statistics,
- P.J. Brockwell, R.A. Davis: Time Series: Theory and Methods.
Registration
Registration for the exercise classes via the online administration system URM (https://urm.mathematik.uni-kl.de)
Requirements for attendance (informal)
Modules:
- [MAT-10-1-M-2] Fundamentals of Mathematics (M, 28.0 LP)
- [MAT-14-14-M-3] Stochastic Methods (M, 9.0 LP)
Requirements for attendance (formal)
None
References to Module / Module Number [MAT-60-12-M-4]
Course of Study | Section | Choice/Obligation |
---|---|---|
[INF-88.79-SG] M.Sc. Computer Science | Formal Fundamentals | [WP] Compulsory Elective |
[MAT-88.105-SG] M.Sc. Mathematics | Applied Mathematics | [WP] Compulsory Elective |
[MAT-88.706-SG] M.Sc. Mathematics International | Applied Mathematics | [WP] Compulsory Elective |
[MAT-88.118-SG] M.Sc. Industrial Mathematics | General Mathematics | [WP] Compulsory Elective |
[MAT-88.276-SG] M.Sc. Business Mathematics | General Mathematics | [WP] Compulsory Elective |
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