Time Series. Spring 2016
Introduction meeting: Tuesday, Jan 26 at 12:00 in MVL22
First Lecture: Tuesday, Febr. 2, 10:1512:00 in MVF:26
Meetings: Tuesdays 10:1512:00 in MVL:15 (except 2/2, 9/2), Wednesdays 10:1512:00 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; nonstationary 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, SpringerVerlag, New York.
Complementary literature:
Introduction to Time Series and Forecasting, second edition (2002)
P.J. Brockwell and R.A. Davis, SpringerVerlag, 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:
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:
Date 
Content 
Literature 
Tuesday, Febr. 2, 10:1512:00 in MVF:26 
TS ch 1: Time series, stochastic processes, stationarity, trends and seasonality 
TS p. 119 Slides: TS1 
Wednesday, Febr 3 10:1512:00 in MVH:11 
TS ch 1, 2: Autocovaricance functions, Hilbert space 
TS p. 2037 Slides: TS1, TS2 
Tuesday, Febr. 9, 10:1512:00 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 

TS ch 2: Hilbert space, 
TS p. 4254 Slides TS2, TS3 
Tuesday, Febr. 16, 10:1512:00 in MVL:15  TS ch 2, 3: Hilbert space, ARMA processes  TS 5865 Slides TS2, TS3 
Tuesday, Febr. 23, 10:1512:00 in MVL:15  Excercise session  TS 77103 TS 2.1, 2.2, 2.3, 2.10, 3.1, 3.4, 3.6, 3.15, 3.22, 3.23 
Wednesday, Febr 24 10:1512:00 in MVH:11  TS ch 3, 4: ARMA processes, spectral representation and estimation  TS 115133 Slides TS3, TS4 
Tuesday, March 1, 10:1512:00 in MVL:15  TS ch 4, SSPES App B  SSPES App B Slides TS4 
Wednesday, March 2, 10:1512:00 in MVH:11  TS ch 5  TS 166185 Slides TS5 
Tuesday, March 8, 10:1512:00 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, 10:1512:00 in MVH:11  TS ch 7, 8  TS 218225, 238261 Slides TS7, TS8 
Tuesday, March 29, 10:1512:00 in MVL:15  Excercise session  TS 7.4, 7.5, 7.6, 8.4, 8.7, 8.8, 8.14 
Monday, April 4, 13:1515:00 in MVH:11  Visualization TS ch 9  Slides by participants, TS 273301, 306326, Slides TS9 
Tuesday, April 5, 10:1512:00 in MVL:15  TS ch 9, SSPES ch 9  SSPSE 237259 Slides TS 9, TS10 
Monday, April 11, 13:1515:00 in MVH:11  New ITS ch 7  New ITS ch7 223245 slides sv 
Tuesday, April 12, 10:1512:00 in MVL:15  New ITS ch 7 ITS ch 8  ITS sections 8.1,8.4, 8.5 Slides sv, ITS8, 
Monday, April 18, 13:1515:00 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, 10:1512:00 in MVL:15  Project presentations  
Lecture slides:
TS1Visualizaton of time series slides:
Project slides: