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Welcome to my personal page about time series analysis (TSA). This page hosts syllabus for the course “Advanced Time Series Analysis” (D0M63B) thought at the Catholic University Leuven (in the academic year 2024-2025). The intent of this syllabus is to give a broader and more advanced view on the topics discussed during the course, while also providing a personal repository from where I can retrieve information in the future. One advantage to this approach, is that this page can potentially serve as a repository for others looking for information regarding TSA.
Please note that this syllabus goes into (much) more detail than the original course content. In this syllabus, there is a higher emphasis on understanding certain concepts, mathematical derivations and should serves as a common guide into time series analysis, taking inspiration from multiple books, fields and sources. Before diving in, here are some clarifications on how the syllabus is structured.
Definition 1 - Definitions are highlighted in a block, next to an exclamation mark.
Example 1 - Examples are highlighted in a block, next to an “example” tag.
Review - Reviews of specific concepts are highlighted in a block, next to a “review” tag.
0.1 This is the heading of a section
0.0.1 This is the heading of a subsection
This is the heading of a paragraph
In some cases, headings will be annotated with ❌, indicating these sections are unnecessary material for the original course and were added for future expansion of the syllabus.
Per chapter sources are available at the end of each chapter.
- Source 1
- Source 2
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Table Of Content
Chapter 1 - Introduction To Time Series Analysis
Chapter 2 - Estimators
Chapter 3 - Regression Models
Chapter 4 - ARMA Models
