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Enseignement de Master - DATA927 MAP658 : Introduction to time series

Descriptif

https://datascience-x-master-paris-saclay.fr/le-master/structure-des-enseignements/

The main goal of this course is to introduce and explain the statistical methods used for the analysis and forecasting of certain financial time series. This domain of applications have given rise to substantial modeling efforts in the last decades, which allow one to consider many types of financial time series (price returns, rates, transactions data): linear time series, conditionally heteroscedastic time series, multivariate time series, discrete time series and so on. The main classes of linear and non-linear models will be introduced as well as the statistical methods associated to them. 

The main prerequisites to attend this course are the bases of linear algebra, Hilbert geometry, probability and statistics. 

Format des notes

Numérique sur 20

Littérale/grade européen

Pour les étudiants du diplôme Data Science

Pour les étudiants du diplôme Diplôme d'ingénieur

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