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Kurs

Zeitreihenanalyse in R

MittelSchwierigkeitsgrad

Aktualisiert 01/2026

Dieser Kurs macht dich mit zentralen Techniken vertraut, um aus Zeitreihendaten wichtige Erkenntnisse zu gewinnen.

Kurs kostenlos starten

RProbability & Statistics

4 Std.

16 Videos

58 Übungen

4,600 XP

61,145

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Kursbeschreibung

Viele Phänomene in unserem Alltag, wie zum Beispiel die Entwicklung von Aktienkursen, werden in Intervallen über einen Zeitraum gemessen. Methoden der Zeitreihenanalyse sind äußerst hilfreich, um diese speziellen Datentypen zu untersuchen. In diesem Kurs lernst du zentrale Konzepte und Techniken der Zeitreihenanalyse kennen.

Voraussetzungen

1

Exploratory time series data analysis

This chapter will give you insights on how to organize and visualize time series data in R. You will learn several simplifying assumptions that are widely used in time series analysis, and common characteristics of financial time series.

Welcome to the course!

Exploring raw time series

Basic time series plots

What does the time index tell us?

Sampling frequency

Identifying the sampling frequency

When is the sampling frequency exact?

Missing values

Basic time series objects

Creating a time series object with ts()

Testing whether an object is a time series

Plotting a time series object

Kapitel starten

2

Predicting the future

In this chapter, you will conduct some trend spotting, and learn the white noise (WN) model, the random walk (RW) model, and the definition of stationary processes.

Trend spotting!

Random or not random?

Name that trend

Removing trends in variability via the logarithmic transformation

Removing trends in level by differencing

Removing seasonal trends with seasonal differencing

The white noise (WN) model

Simulate the white noise model

Estimate the white noise model

The random walk (RW) model

Simulate the random walk model

Simulate the random walk model with a drift

Estimate the random walk model

Stationary processes

Stationary or not?

Are the white noise model or the random walk model stationary?

Kapitel starten

3

Correlation analysis and the autocorrelation function

In this chapter, you will review the correlation coefficient, use it to compare two time series, and also apply it to compare a time series with its past, as an autocorrelation. You will discover the autocorrelation function (ACF) and practice estimating and visualizing autocorrelations for time series data.

Scatterplots

Asset prices vs. asset returns

Characteristics of financial time series

Plotting pairs of data

Covariance and correlation

Calculating sample covariances and correlations

Guess the correlation coefficient

Autocorrelation

Calculating autocorrelations

The autocorrelation function

Visualizing the autocorrelation function

Kapitel starten

4

Autoregression

In this chapter, you will learn the autoregressive (AR) model and several of its basic properties. You will also practice simulating and estimating the AR model in R, and compare the AR model with the random walk (RW) model.

The autoregressive model

Simulate the autoregressive model

Estimate the autocorrelation function (ACF) for an autoregression

Persistence and anti-persistence

Compare the random walk (RW) and autoregressive (AR) models

AR model estimation and forecasting

Estimate the autoregressive (AR) model

Simple forecasts from an estimated AR model

Kapitel starten

5

A simple moving average

In this chapter, you will learn the simple moving average (MA) model and several of its basic properties. You will also practice simulating and estimating the MA model in R, and compare the MA model with the autoregressive (AR) model.

The simple moving average model

Simulate the simple moving average model

Estimate the autocorrelation function (ACF) for a moving average

MA model estimation and forecasting

Estimate the simple moving average model

Simple forecasts from an estimated MA model

Compare AR and MA models

AR vs MA models

Name that model by time series plot

Name that model by ACF plot

Congratulations!

Kapitel starten

Zeitreihenanalyse in R

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