STK9110 - Bayesian time series analysis
Schedule, syllabus and examination date
The course presents Bayesian time series analysis and dynamic linear models. Much of the content is technically common to Kalman filtering in cybernetics, but the advantage with this presentation is that all results can be argued for and interpreted probabilisticly. Special topics covered are: The generel dynamic linear model, discount factors to help assessing the signal variance, estimation of the observation variance, retrospective filtering, forecasts, model monitoring, intervention into the time series model due to new information, comparison with classical time series models.
The student will be able to apply these methods with associated software in research in their own field.
PhD candidates from the University of Oslo should apply for classes and register for examinations through Studentweb.
If a course has limited intake capacity, priority will be given to PhD candidates who follow an individual education plan where this particular course is included. Some national researchers’ schools may have specific rules for ranking applicants for courses with limited intake capacity.
PhD candidates who have been admitted to another higher education institution must apply for a position as a visiting student within a given deadline.
Recommended previous knowledge
10 credits overlap with STK4110 - Bayesian time series analysis
The information about overlaps is not complete. Contact the department for more information if necessary.
3 hours of lectures/exercises per week.
Depending on the number of students, the exam will be in one of the following four forms:
1.Only written exam
2.Only oral exam
3.A project paper followed by a written exam.
4.A project paper followed by an oral exam/hearing.
For the latter two the project paper and the exam counts equally and the final grade is based on å general impression after the final exam. (The two parts of the exam will not be indivdually graded.)
What form the exam will take will be announced by the teaching staff within October 15th for the autumn semester and March 15th for the spring semester.
In addition, each phd student is expected to give a one hour oral presentation on a topic of relevance (chosen in cooperation with the lecturer). The presentation has to be approved by the lecturer for the student to be admitted to the final exam.
Examination support material
Permitted aids at the exam if written: All written aids and approved calculator.
Information about approved calculators (Norwegian only)
Oral exam: no aids permitted.
Language of examination
Subjects taught in English will only offer the exam paper in English.
You may write your examination paper in Norwegian, Swedish, Danish or English.
Grades are awarded on a pass/fail scale. Read more about the grading system.
Explanations and appeals
Resit an examination
This course offers both postponed and resit of examination. Read more:
Withdrawal from an examination
It is possible to take the exam up to 3 times. If you withdraw from the exam after the deadline or during the exam, this will be counted as an examination attempt.
Special examination arrangements
Application form, deadline and requirements for special examination arrangements.
The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.