Time Series Analysis - STAT 720

12:50 pm - 2:05 pm MW Leconte College 201A Jan 14, 2019 - Apr 29, 2019

Instructor office hours: Monday 2:30 p.m. - 5:00 p.m. and Tuesday 2:30 p.m. - 5:00 p.m. or by appointment.
Instructor office: 219C LeConte College


Lecture notes Topics Corresponding section(s) of Brockwell and Davis (2002) book
Lec_01.pdf Stationarity, strict stationarity, autocovariance function 1.1-1.4, 2.4
Lec_02.pdf Detrending and deseasonalizing time series data 1.5
Lec_03.pdf Asymptotic results for linear processes 2.1, 2.2
Lec_04.pdf Forecasting with Durbin-Levinson and innovations algorithms 2.5
Lec_05.pdf ARMA processes 2.3, 3.1, 3.2
Lec_06.pdf Estimation for ARMA processes 5.1, 5.2
Lec_07.pdf R code Spectral analysis of time series 4.1-4.4
Lec_08.pdf Testing for white noise, goodness of fit for ARMA models 1.6, 5.3
Lec_09.pdf ARIMA model, Dickey-Fuller unit root test, SARIMA model 6.1-6.5
Lec_10.pdf Multivariate time series 7.1-7.4
Lec_11.pdf R code Intro to block bootstrapping for time series

R package for the course at github/gregorkb/tscourse.

Homework assignments Due Solutions
hw_01.pdf Wednesday, Feb 6th hw_01_sol.pdf
hw_02.pdf Monday, Feb 25th hw_02_sol.pdf
hw_03.pdf Wednesday, March 20th hw_03_sol.pdf

Project Due
project.pdf Wednesday, April 24th

Midterm Solutions
midterm.pdf midterm_sol.pdf

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