KTH Mathematics

Mathematical Statistics

SF2943 Time Series Analysis 7.5 cr, Spring 2017
    Pierre Nyquist
    Department of Mathematics
    Office: Room 3443, Lindstedtsv. 25 (4th floor)
    Office Phone: +46 8 790 6633

    Salah Eddine Choutri
    Department of Mathematics
    Office: Room 3729, Lindstedtsv. 25 (7th floor)

    Office hours: Mon 10:30--11:30 (in 3443).

    General course information.

    On the following pages you can find some general information regarding the course.
  • Short course description.
  • Course information 2017.
  • Lecture plan for 2017. [Preliminary] Note: Ch. 8 has been omitted.
  • Schedule.
  • Course literature: P.J.Brockwell and R.A. Davis, Introduction to Time Series and Forecasting. Springer.
  • Recommended exercises, Solutions and errata for the textbook.
  • Formulas and survey (allowed on the final exam).

  • Information about registrations can be found here.

    You can find an up-to-date account and current information here. [Updated 4/9]

    Course evaluation

    An evaluation form for the course is available here. This is an important part of evaluating the course, and everyone involved, and improving this and other courses, so please take the time to fill out the questionnaire. It only take a few minutes; most questions are multiple choice.

    Final exam.

    The final exam will take place on May 29, 2017. You must register via "my pages".

    Students with disabilities: Please contact KTH FUNKA to inquire about any support you may need during the exam.


    The course contains mandatory projects for 3 ECTS. This includes two project discussion seminars (April 18 and May 2) and two presentation seminars (May 10 and May 17).

  • Instructions and problems.
  • Problem 6; Quantlab workspace (garch.qlw) and a description of the workspace can be found at Alexander Aurell's website.
  • Report template.
  • Data sets: Series 1, Series 2, Series 3, Series 4, Series 5, Series 6; all data series in one file: all_series.zip

  • Old exams.

  • August 18, 2017: Exam (with solutions).
  • May 29, 2017: Exam (with solutions).
  • August 19, 2016: Exam, Solutions.
  • May 30, 2016: Exam, Solutions.
  • August 21, 2015: Exam (with solutions).
  • June 1, 2015: Exam (with solutions).
  • Older exams with solutions can be found here

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Published by: Pierre Nyquist