STK9060 – Time Series
Schedule, syllabus and examination date
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.
Admission to the course
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
STK1100 – Probability and Statistical Modelling, STK1110 – Statistical methods and data analysis and one of the following courses: STK2100 – Machine Learning and Statistical Methods for Prediction and Classification or STK3100 – Introduction to generalized linear models
- 10 credits overlap with STK4060 – Time Series.
3 hours of lectures/exercises per week.
The course may be taught in Norwegian if the lecturer and all students at the first lecture agree to it.
Upon the attendance of three or fewer students, the lecturer may, in conjunction with the Head of Teaching, change the course to self-study with supervision.
Final oral or written examination. The form of examination will be announced by the teaching staff by 15 October/15 March for the autumn semester and the spring semester respectively.
In addition, each PhD candidate is expected to give an 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
Written exam: approved calculator. Information about approved calculators (Norwegian only)
Oral exam: No examination support material is allowed.
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.
Resit an examination
This course offers both postponed and resit of examination. Read more: