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Mathematical Statistics: Time Series Analysis

Course • Master's level • 7.5 credits

Do you want to deepen your knowledge of mathematical statistics and learn how to analyze time series? Our course in time series analysis gives you the tools to model and predict real random processes.
Application dates

Start

Autumn 2026

Level

Master's

Language

English

Place of study

Lund

Course code

MASM17

Application dates
The advanced-level course Time Series Analysis is an alternative compulsory course in the Master’s program in Mathematical Statistics at Lund University. It can also be taken as a standalone course. Here, you will learn to construct data-based models to solve practical time series problems. You will be able to transform non-stationary time series into stationary ones, as well as predict and interpolate in linear time series models. The course also provides skills in parameter estimation and model validation, as well as using the Kalman filter for processes observed with measurement noise and recursive techniques for handling time-varying stochastic systems.This course is perfect for those who want a deeper understanding of time series analysis and its applications in various fields. By combining theory and practice, you will gain a solid foundation, preparing you well for both academic and professional challenges. The course requires prior knowledge equivalent to the course Stationary Stochastic Processes (7.5 credits) and good proficiency in English.

You will participate in lectures, exercises, labs, and project work. The lectures provide the theoretical foundation, while the exercises and labs allow you to apply your knowledge in practice. The projects give you the opportunity to work on real-world problems.

The examination consists of both written and oral components, including an exam and project presentation. To pass the course, you must complete all mandatory components, including labs and project work.

Autumn Semester 2026

Closed for applications.

Start

2 November 2026

2 Nov 2026

End

17 January 2027

17 Jan 2027

Form

Normal learning

Pace

Part time

Language

English

City

Lund

Prerequisites

For admission to the course knowledge equivalent to the course MASC14, Stationary Stochastic processes, 7.5 credits is required together with English B.

Selection criteria

Seats are allocated according to: ECTS (HPAV): 100 %.

Tuition fees for non-EU/EEA citizens

Citizens of countries outside:

  • The European Union (EU)
  • The European Economic Area (EEA) and
  • Switzerland

are required to pay tuition fees. You pay an instalment of the tuition fee in advance of each
semester.

Tuition fees, payments and exemptions

Full programme/course tuition fee: SEK 23,125
First payment: SEK 23,125

Convert currency – xe.com

Note that you may also need to pay an application fee, or provide proof of exemption.

Application fee

No tuition fees for citizens of the EU, EEA and Switzerland

There are no tuition fees for citizens of the European Union (EU), the European Economic Area (EEA) and Switzerland.

Contact us

Director of studies

Email: studierektor@matstat.lu.se