Fall 2010/11
  Time Series Analysis (52640)

Benjamin Yakir

Wednesdays 10:30-13:15, Soc. 1710

Contact Info:

Announcements

Requirements

• The Syllabus

Bibliography

• A First Course on Time Series Analysis, Chair of Statistics University of Wuerzburg. (link)
• Time Series Analysis with R (Part I), Walter Zucchini and Oleg Nenadic. (link)

Reading

• For the class of 13-10-2010 read Section 1.1 of the book. We will run in class the R code for Section 1.1.

• For the class of 20-10-2010 read Section 1.2 of the book. We will run in class the R code for Section 1.2.

• For the class of 27-10-2010 read Section 1.3 of the book. We will run in class the R code for Section 1.3.

• For the class of 03-11-2010 read Section 1.3 of the book. We will run in class the R code for Section 1.3.

• For the class of 10-11-2010 read Section 2.1 of the book.

• For the class of 17-11-2010 finish Section 2.1 of the book.

• For the class of 24-11-2010 read Section 2.2 of the book. We will run in class the R code for the first part of Section 2.2.

• For the class of 1-12-2010 read Section 2.2 of the book. We will run in class the R code for the second part of Section 2.2.

• For the class of 8-12-2010 we will finish reading Section 2.2 of the book and run in class the R code for the second part of Section 2.2.

• For the class of 15-12-2010 We will read Section 2.3. Instead of Section 2.4 we will read the following class notes on State-Space Models.

• For the class of 22-12-2010 We will read the class notes on State-Space Models.

• For the class of 29-12-2010 We will finish reading the class notes on State-Space Models and deal with forcast in such models. We will look at data on the index. We will use this code. Time permitting, we may start discussing Chapter 3, in which case we may run this code.

• For the class of 05-01-2011 We will look at data on the index. We will use this code and discuss Chapter 3. During class we will run this code.

• For the class of 12-01-2011 We will discuss Chapter 3. During class we will run this (corrected)) code.

Assignments

1. For the class of 20-10-2010 do Ex. 1.1, 1.5, 1.6, 1.7 (Solution: Ch-1-1-HW.R)

2. For the class of 27-10-2010 do Ex. 1.8, 1.9, 1.12, 1.13 (Solution: Ch-1-2-HW.R and Solution for HW 2)

3. For the class of 10-11-2010 do Ex. 1.16, 1.18, 1.20, 1.21 (Solution: Ch-1-3-HW.R and Solution for HW 3)

4. For the class of 17-11-2010 do Ex. 2.1, 2.3, 2.4, 2.6 (Solution: Solution for HW 4)

5. For the class of 24-11-2010 do Ex. 2.8, 2.10 2.13, 2.14 (Solution: Ch-2-1-HW.R and Solution for HW 5)

6. For the class of 1-12-2010 do Ex. 2.18, 2.20 2.23, 2.25 (Solution: HW-6-2.23.R and Solution for HW 6)

7. For the class of 8-12-2010 do Ex. 2.29, 2.30 2.31, 2.34 (Solution: HW-7.R and Solution for HW 7)

8. For the class of 15-12-2010 do Ex. 2.34, 2.35 2.43 (not including the last part)(Solution: HW-8.R and Solution for HW 8)

9. For the class of 22-12-2010 do Ex. 1, 2 and 3 of Homework 9. (Solution: Solution for HW 9)

10. For the class of 29-12-2010 do Homework 10. (Solution: Solution for HW 10)

11. For the class of 05-01-2011 Chose any time series dataset, either one that was presented in class or data of your own, and fit a time series model to it. Try to predict future data values. Also, do Homework 11. (Solution: Solution for HW 11)

12. For the class of 12-01-2011 do Homework 12. (Solution: Solution for HW 12)

Old Exams

• Moed A of 2010/11
• Moed A of 2009 (with solution)
• Moed B of 2009 (with solution)
• Moed A of 2007 (with solution)

Useful Links

• R installation and help: CARN.

• Acrobat reader (PDF): The Adobe company.