Dates
| weekly | Tuesday | 14:15 - 15:45 | 06.04.2026 - 10.07.2026 | C 14.001 Seminarraum | blackboard or whiteboard necessary |
Curriculum context
Resit date: : Keine selbständige Anmeldung zum Wiederholungstermin möglich. info_outline
Thursday, 17.09.2026, 10:15, room C 14.027 Seminarraum
Organizational information
Registration
Registration ends 07.4.2026 at 23:59 h
You will register automatically for this course if you register for one of the following courses:
Forecasting and Simulation (Ulf Brefeld, Soham Majumder)
Persons
Content
The module provides a survey of the theory and application of data-based computational techniques to forecast and simulate data with temporal dependencies. Selected statistical approaches dealing with the special role of time in modeling will be discussed in detail. Topics of interest include:
- stationary and non-stationary time series (ARIMA models)
- conditional heteroscedastic time series (ARCH and GARCH models)
- multivariate time series (VAR and VARMA models)
- state space models (Kalman Filter)
On successful completion of the module, students will have gained knowledge on selected methods of forecasting and simulating data with temporal dependencies and will be able to use these methods in various applications.
Evaluation
Further information on teaching evaluation: https://www.leuphana.de/en/teaching/quality-management/evaluation/course-evaluation.html