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Additional Information |
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Aug. 24
Introduction to Time Series
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Aug. 26
Stationary Processes
(2.1, 2.4)
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Aug. 31
Stationary Processes, Autocovariance and Autocorrelation Functions,
White Noise Processes
(2.1, 2.2, 2.4)
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Sep. 2
Autoregressive Processes
(3.1)
HW#1
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Sep 7
Labor Day
no class, yipee!
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Sep 9
AR Processes, PACF
(3.1, 2.3)
Please come to GMCS-308 first, then
Computer Lab, GMCS-421
Lab1 AR(p) Processes
HW#2
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See the bottom of Lab1 for R Tutorials!
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Sep 14
Autoregressive Processes
and Linear Difference Equations
(3.1, 2.7)
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Sep 16
Autoregressive Processes
(3.1)
HW#3
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Sep 21
PACF and AR Processes (cont.)
(2.3, 3.1)
Please come to GMCS-308 first, then
Computer Lab, GMCS-421
Lab1 AR(p) Processes
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Sep 23
AR and MA(1) Processes (cont.)
(3.2, 2.3)
HW#4
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Note: please see additional bold comments in
Lab1 for generating MA processes
R and your book have different conventions!
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Sep 28
MA Processes (cont.)
(3.2, 2.3)
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Sep 30
Dual Relationship AR and MA Processes
(3.3)
HW#5
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Oct 5
ARMA(p,q)
(3.4)
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Oct 7
ARMA(p,q) Models
(3.4)
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Noise and sample size and estimates?
Midterm Exam, In-class
Midterm Exam Information
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Oct 12
Nonstationary Time Series Models and Review
(4.1-4.2)
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Oct 14
Midterm Exam, In-class
Midterm Exam Information
Midterm Exam Take-home Part II (pdf)
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Oct 19
Nonstationary Time Series Models
(4.1-4.3)
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Oct 21
Model Identification
(6.1-6.2)
Please come to GMCS-308 first, then
Computer Lab, GMCS-421
Lab2 ARIMA Fitting
HW#6
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Here is ARIMA(0,1,1) example:
ns_plots.pdf
Here is the R code:
ns.ex1.r
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Oct 26
Model Identification and Parameter Estimation
(7.1)
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Oct 28
Parameter Estimation
(7.1, 7.2, 7.3, 7.5)
HW#7
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Nov 2
Parameter Estimation and Forecasting
(7.1, 7.2, 7.3, 7.5) (5.1-5.2)
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Nov 4
Forecasting
(5.1-5.3)
HW#8
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Nov 9
Forecasting
Chapter 5
Please come to GMCS-308 first, then
Computer Lab, GMCS-421
Lab3 Forecasting
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Nov 11
Veteran's Day
Campus Closed - no class
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Nov 16
Forecasting and Seasonal Time Series Models
Chapter 8, 5
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Nov 18
Frequency Domain Methods
Chapter 11
HW#9
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Here is class handout:
airtravel.pdf
Here is the R code:
airtravel.r
Here is the data:
airtravel.dat
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Nov 23
Spectrum of ARMA Models
(12.2.1, 12.2.2, 12.2.4)
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Nov 25
No Class - Happy Thanksgiving Break!
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Nov 30
Spectrum of ARMA Models and Linear Filters
(12.2.1, 12.2.2, 12.2.4, 12.3.1-12.3.3)
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Dec 2
Spectrum of Linear Filters and Estimating the Spectrum
(12.3.1-12.3.3)
Please come to GMCS-308 first, then
Computer Lab, GMCS-421
Lab The Spectrum
Extra Practice Problem
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Dec 7
Review and Short Journal Article Presentations!
see Journal Article Assignment web page for info.
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Dec 9
Short Journal Article Presentations!
see Journal Article Assignment web page for info.
Project due!
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Final Exam, In-class
Friday December 11, 3:30-5:30PM
Final Exam Information
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