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Time Series Analysis (Winter Semester 2009/10)

Lecture: Monday 9:45-11:15 HS 101 (10.50)
Wednesday 11:30-13:00 702 (10.50)
Problem class: Friday 11:30-13:00 HS 101 (10.50)
Lecturer JProf. Dr. Claudia Kirch
Office hours: Nach Vereinbarung.
Room Kollegiengebäude Mathematik (20.30)
Email: claudia.kirch@kit.edu
Problem classes Dipl.-Math. Franziska Häfner
Office hours: Mittwoch 14-15 Uhr (Bitte per E-Mail anmelden.)
Room Allianz-Gebäude (05.20)
Email: franziska.lindner@kit.edu


Fundamental knowledge of probability theory, e.g. 'Stochastik 2'. Some basic knowledge in statistics is helpful.


The lecture gives an introduction to time series analysis. Topics that are dealt with:

  • Stationary Time Series
* Trend and seasonal components
* Autocorrelation and spectral measure
* ARMA-models
* Wold decomposition
  • Statistic in the time domain of stationary processes
* Prediction
* Estimators for mean and autocorrelation function
* Estimation in ARMA models
  • Statistic in the frequency domain of stationary processes
* The periodogram
* Nonparametric spectral density estimators
  • Extensions and financial time series
* ARIMA and SARIMA models
* GARCH models

If time allows, we will also discuss further topics such as unit-root-tests or multivariate time series.


The material concerning lecture and exercises can be found in the Studierendenportal.


  • Brockwell, Davis: Time Series: Theory and Methods
  • Kreiß, Neuhaus: Einführung in die Zeitreihenanalyse
  • Franke, Härdle, Hafner: Statistics of financial markets (dt. Ausgabe: Einführung in die Statistik der Finanzmärkte)