Module 3

Machine Learning and Statistics for Time Series Analysis

Course overview

In the module “Machine Learning and Statistics for Time Series Analysis”, students will embark on a comprehensive exploration of probability theory and time series analysis combining ideas from modern statistics and recent advances in machine learning. They will learn how to handle trends and seasonality within time series data and develop expertise in forecasting time series models. The theoretical developments will be applied to various data sets with a particular focus on financial data. Students will also learn how risk measures such as value-at-risk and expected shortfall can be computed.

Learning outcomes 

For delegates who have successfully completed the course, the learning outcomes will be:  

• Understand a range of statistical and mathematical techniques to manipulate empirical data sets. 

• Implement machine learning algorithms. 

• Explain time series modelling. 

• Apply learnt techniques to real life data sets.