Time Series. Spring 2016

 

Introduction meeting: Tuesday, Jan 26 at 12:00 in MVL22

First Lecture: Tuesday, Febr. 2, 10:15-12:00 in MVF:26

Meetings: Tuesdays 10:15-12:00 in MVL:15 (except 2/2, 9/2), Wednesdays 10:15-12:00 in MVH:11

Lectures, problem sessions, and projects
The course will cover the theory and and practice of ARMA and stochastic volatility modelling in one and several dimensions; non-stationary and seasonal models; Kalman filtering; and spectral analysis. It will consist of lectures, problem sessions where participants present solution to selected problems from the course book,  and  projects  consisting  of  anlysis of  time  series  choosen by the  participants  themselves.
Course literature:
 
Time Series: Theory and Methods, second edition (1991)
P.J. Brockwell and R.A. Davis, Springer-Verlag, New York.


Complementary literature:

Introduction to Time Series and Forecasting, second edition   (2002) 

P.J. Brockwell and R.A. Davis, Springer-Verlag, New York + ch 7 from new version of the book, soon to appear.

ITSM:  The program package which comes with the books: 
http://www.stat.columbia.edu/~rdavis/Pune2015/itsm7pro.zip

Stationary stochastic processes for scientists and engineers  (2013)
G. Lindgren, H. Rootzιn, M. Sandsten, CRC press


Course content:

TS ch 1-5, 7-9, SSPES ch 9, ITS ch 8,  ITS ch on financial time series

 
Examination:

•        Oral exam: presentation of a solution to a randomly choosen exercise, and of material from a randomly choosen chaper of the course  (it is allowed  to beforehand  arrange that a couple or so of the proofs are not  included in the material covered in the exam). About 20 minutes  preparation preceeds the exam. Any material may be used during the preparation.   

 •       Solutions of exercises during the course

 •    Time series analysis projects

Projects:

  1. The groups together arrange a (probably one-hour) presentation of ideas and program packages for visualization of time series
  2. Each group finds some interesting non-financial time series and makes an ARMA and spectral analysis of  it
  3. Each group finds some interesting financial time series and makes an analysis of it

Date

Content

Literature

Tuesday, Febr. 2, 10:15-12:00 in MVF:26

 TS ch 1:  Time series,  stochastic processes,  stationarity,  trends and seasonality

TS p.  1-19

Slides: TS1 

Wednesday, Febr 3 10:15-12:00 in MVH:11

TS ch 1, 2: Autocovaricance functions, Hilbert space
 

TS p. 20-37
Slides: TS1, TS2
 Tuesday, Febr. 9,  10:15-12:00 in MVF:26 Excercise session TS 1.2, 1.4, 1.5, 1.6.1.7, 1.8, 1.10, 1.11, 1.12, 1.13,
 1.15, 1.18

Wednesday, Febr 10 10:15-12:00 in MVH:11

TS ch 2: Hilbert space,

TS p. 42-54
Slides TS2, TS3
 Tuesday, Febr. 16,  10:15-12:00 in MVL:15 TS ch 2, 3: Hilbert space, ARMA  processes TS 58-65
 Slides TS2, TS3
 Tuesday, Febr. 23,  10:15-12:00 in MVL:15 Excercise session TS 77-103
 TS 2.1, 2.2, 2.3, 2.10, 3.1, 3.4, 3.6, 3.15, 3.22, 3.23
 Wednesday, Febr 24  10:15-12:00 in MVH:11 TS ch 3, 4: ARMA processes, spectral  representation and estimation TS 115-133
 Slides TS3, TS4
 Tuesday, March 1,  10:15-12:00 in MVL:15 TS ch 4, SSPES App B SSPES App B 
 Slides TS4
 Wednesday, March 2,  10:15-12:00 in MVH:11 TS ch 5 TS 166-185
 Slides TS5
 Tuesday, March 8,  10:15-12:00 in MVL:15 Excercise session TS 4.2, 4.3, 4.5, 4.7, 4.9, 4.10, 4.13, 4.16, 4.17,
 4.18, 4.19
 
 Wednesday, March 9,  10:15-12:00 in MVH:11 TS ch 7, 8 TS 218-225, 238-261
 Slides TS7, TS8
 Tuesday, March 29,  10:15-12:00 in MVL:15 Excercise session TS 7.4, 7.5, 7.6, 8.4, 8.7, 8.8, 8.14
 Monday, April 4,  13:15-15:00 in MVH:11 Visualization
 TS ch  9
 Slides by participants,
 TS 273-301, 306-326, Slides TS9
 Tuesday, April 5,  10:15-12:00 in MVL:15 TS ch 9,  SSPES ch 9 SSPSE 237-259
 Slides TS 9, TS10
 Monday, April 11,    13:15-15:00 in MVH:11 New ITS ch 7 New ITS ch7 223-245
 slides sv
 Tuesday, April 12,  10:15-12:00 in MVL:15 New ITS ch 7
 ITS ch 8
 ITS sections 8.1,8.4, 8.5 
 Slides sv, ITS8,
 Monday, April 18,  13:15-15:00 in MVH:11 Excercise session TS 9.2, 9.8, SSPSE 9:3, 9:4, 9:5, ITS 10.4, excercise slides sv,
 ITS 8.1, 8.7, 8.9, 8.12

 Tuesday, April 19,  10:15-12:00 in MVL:15 Project presentations

 

Lecture slides:

TS1
TS2
TS3
TS4
TS5
TS7
TS8
TS9
TS10
sv
ITS8
Extremes 1
Extremes 2
Solutions1-2
Solutions3-4
Solutions5,7
Solutions8-9

Solutions10,12

Visualizaton of time series slides:

Univariate visualization 1

Univariate visualization 2

Multivariate visualization 1

Visualization software

Project slides:

ProjectEDT

ProjectVM