Vorlesungsverzeichnis

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Start > Masterprogramm Management (M.A./M.Sc.) -> Management & Data Science -> Forecasting and Simulation

Lehrveranstaltungen

Forecasting and Simulation (Vorlesung)

Dozent/in: Ulf Brefeld

Termin:
 wöchentlich | Dienstag | 10:15 - 11:45 | 04.04.2022 - 08.07.2022 | C 14.102 b Seminarraum

Inhalt: 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)

Forecasting and Simulation (Übung)

Dozent/in: Ulf Brefeld, Eraldo Luis Rezende Fernandes

Termin:
 wöchentlich | Donnerstag | 10:15 - 11:45 | 04.04.2022 - 08.07.2022 | C 14.102 b Seminarraum

Inhalt: 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)