Магистратура
2022/2023
Анализ и прогнозирование временных рядов: методы и приложения
Статус:
Курс по выбору (Науки о данных (Data Science))
Направление:
01.04.02. Прикладная математика и информатика
Где читается:
Факультет компьютерных наук
Когда читается:
2-й курс, 1, 2 модуль
Формат изучения:
без онлайн-курса
Охват аудитории:
для всех кампусов НИУ ВШЭ
Прогр. обучения:
Науки о данных
Язык:
русский
Кредиты:
8
Контактные часы:
54
Программа дисциплины
Аннотация
How to forecast rates of a national currency? How to identify an oncoming heart attack in good time? – the answers to these questions are associated with the problems (1) to predict a chaotic time series and (2) to reveal typical sequences in an observed time series, respectively. All these problems along with many others comprise the field of time series prediction. The course combines real-world applications with a strong theoretical background: the authors selected mathematical topics required to solve complex problems of actual practice. On the other hand, several topics focus on “mathematics of future” that is theories that will have become the basis of applications in the decades to come. The course starts with simple concepts and gradually works in more advanced applications. To be specific, the course deals with main models to examine and predict regular time series (exemplified by ARIMA and GARCH models), chaotic time series (predictive clustering, constructive neural networks, deep learning models and others) as well as with state-of-the-art approaches used to distinguish regular and chaotic time series, using observations of the time series at hand only; particular topics deal with the concepts of forecasting (time) and stationarity horizons. Applications considered range from econometrics problem to mobile health.