Time Series
- Enseignant(s): E.Hashorva
- Titre en français: Séries temporelles
- Cours donné en: anglais
- Crédits ECTS: 3 crédits
- Horaire: Semestre de printemps 2021-2022, 2.0h. de cours (moyenne hebdomadaire)
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séances
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site web du cours
- Formation concernée: Maîtrise universitaire ès Sciences en sciences actuarielles
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ObjectifsImportant examples of time series data include monthly number of claims filed from an insurance portfolio, cash-flows over time, daily climate data (temperature, snowfall, rainfall), the number of sun spots observed etc. Insurance and finance applications aim at explaining the observed time series data in order to understand the underlying phenomenon which can lead to time series models for future predictions. Typically, time series data contain information related to trends, business cycles, sesonality being further subject to residual errors. This course shall discuss both probabilistic & statistical aspects of stationary time series. Basics of non-stationary & multivariate times series will be also discussed. R will be the main platform for the illustration of various concepts and the statistical analysis of real/simulated time series data. Contenus
The course will be accompanied by exercises and facultative R programming tasks. Références
Pré-requisBasics in probability & statistics Evaluation1ère tentative
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