Stat 544: Time Series Analysis

Fall 2009

WEEK	Date	Topics	Sections in the Book	Announcements
1	8/31/09	Syllabus, Introduction, Time Plot, Objectives of Time Series	1.1, 1.2	- Chapter 1 --Notes - Review Problems - Chapter 2 --Notes - First HW set due 9/18/09
	8/02/09	Objectives of Time Series, TS Models	1.2, 1.3
	8/04/09	TS Models, Mean and Auto Correlation Function, Stationary Processes	1.3, 1.4, 1.5
2	9/07/09	Labor Day: NO CLASS
	9/09/09	Weak and Strict Stationarity, Linear Processes	1.5
	9/11/09	Linear Processes, Estimating the mean and ACF	1.5, 1.6
3	9/14/09	Estimating the mean and ACF	1.6	- Chapter 3 -- Notes
	9/16/09	Multiple Regression	2.2
	9/18/09	Multiple Regression, Estimating and Removing Trends, Curve fitting, Transformation	2.2, 2.3	- Chapter 4 -- Notes - Many Glacier River Data (CSV format) - R-Code for Many Glacier
4	9/21/09	Differencing, Assessing Periodic Behavior		- Second HW set due 10/09/09
	9/23/09	Periodogram
	9/25/09	Periodogram, Global Smoothers
5	9/28/09	Smoothing Time Series	2.4
	9/30/09	Tests of Randomness	Handout only
	10/02/09	ARMA Models Definitions	3.1, 3.2	- Chapter 5 -- Notes
6	10/05/09	ARMA Models, Parameter Redundancy, Causality and Invertibility	3.2
	10/07/09	Parameter Redundancy, Causality and Invertibility; Homogeneous Difference Equations	3.2, 3.3
	10/09/09	Homogenous Difference Equations, ACF and PACF of ARMA Models	3.3, 3.4
7	10/12/09	ACF and PACF of ARMA Models	3.4
	10/14/09	PACF of ARMA	3.4
	10/16/09	PACF of ARMA, Forecasting	3.4, 3.5
8	10/19/09	Forecasting,	3.5
	10/21/09	Review		- Group Study
	10/23/09	Mid Term Test
9	10/26/09	Forecasting based on Infinite Past, MOM (Yule-Waker) Estimations	3.5, 3.6	- Third HW due 11/6/09
	10/28/09	MLE, Least Square	3.6
	10/30/09	Conditional Least Square, ARIMA, Model Building	3.6, 3.7, 3.8
10	11/02/09	SARIMA Models		- R-Script for fitting SARIMA Model for the Federal Reserve production Index
	11/04/09	Analysis of Repeated Measures		- Chapter 6: The material for this chapter comes from the paper by P. Diggle (1988, An Approach for Repated Measures Analysis, Biometrics, 44, 959-971)
	11/06/09	Analysis of Repeated Measures		- Rat Weigths Data - R-Script for Repeated Measures Analysis
11	11/09/09	Analysis of Repeated Measures, Introduction to Spectral Analysis, Cyclic Behavior and Periodicity	4.1, 4.2	- Rats Pressure Data - Chapter 7--Notes
	11/11/09	Veteran’s Day NO CLASS
	11/13/09	Cyclic Behavior and Periodicity, Spectral Representation	4.3
12	11/16/09	Spectral Representation, The Periodogram	4.4
	11/04/09	The Periodogram, Nonparametric Estimation of the Spectral Density	4.4, 4.5
	11/06/09	Nonparametric Estimation of the Spectral Density	4.5