STAT 720: Time Series Analysis
Class Time: 09:40am-10:30am MWF @ LeConte College 210AInstructor: Dewei Wang
Email: deweiwang@stat.sc.edu
Office: 219B LeConte College (803-777-4348)
Office Hours: MWF: 11:00- 12:00, 14:30-16:00
Syllabus
Lecture Notes
| Date | Lecture Notes |
|---|---|
| Jan. 12 | Page 1-10：Introduction |
| Jan. 14 | Page 11-25: Stationary, ACVF, ACF, Examples |
| Jan. 16 | Page 26-30: Linear process, AR(1) |
| Jan. 21 | Page 31-34: AR(p), MA(1), MA(q) |
| Jan. 23 | page 35-38: ARMA(1,1) |
| Jan. 26 | page 38-41: Estimation of mean |
| Jan. 28 | Page 42-44: Estiamtion of ACVF and ACF |
| Jan. 30 | Page 45-47: Estiamtion of ACVF and ACF (continued) |
| Feb. 02 | Page 48-50: ARMA(p,q) and causality |
| Feb. 04 | Page 51-52: ARMA(p,q)'s invertibility |
| Feb. 06 | Page 53-55: Computing ACVF for ARMR |
| Feb. 09 | Page 56-57: Computing ACVF for ARMR (continued) |
| Feb. 11 | Page 58: Review of complex valued random variables |
| Feb. 13 | Page 59-60: Spectral density |
| Feb. 16 | Page 61: Spectral density of ARMA |
| Feb. 18 | Page 62-63: Causality and invertibility of ARMA |
| Feb. 20 | Page 64-66: One and h-steps of stationary processes |
| Feb. 23 | Page 67-72: Hilbert space, Projection theorem, Prediction; PACF |
| Feb. 25 | Page 73-75: Durbin-Levinson Algorithm |
| Feb. 27 | Page 76-78: Innovation Algorithm |
| Mar. 02 | Page 79-81: Predcition of an ARMA process |
| Mar. 04 | Page 82-83: h-step prediction of an ARMA |
| Mar. 06 | Page 84-86: Revisit AR(p) and Generating observations from ARMA |
| Spring break | |
| Mar. 18 | Page 87-93: Yule-Walker Estimation |
| Mar. 20 | Page 94-96: Estimation using Durbin-Levinson |
| Mar. 23 | Page 97-98: Estimation using Innovations |
| Mar. 25 | Page 99-100: Estimation for ARMA |
| Mar. 27 | Page 101-102: MLE and LS for ARMA |
| Mar. 30 | Page 103-104: Asymptocis of MLE and Diagnostic checking |
| Apr. 01 | Page 105-112: Introduction of ARIMA |
| Apr. 03 | Page 119-121: Over-differencing? |
| Apr. 06 | Page 122-130: SARMA |
| Apr. 08 | Page 131-133: SARIMA |
| Apr. 10 | Page 134-136: Regression |
| Apr. 13 | Page 137-138: Multivariate time series |
| Apr. 15 | Page 139-141: Multivariate time series |
| Apr. 17 | Page 141-142: Multivariate time series |
| Apr. 20 | Page 143- : State-Space Models |
Homework:
Some codes: