ST 526 Time Series II
 Instructor:

Richard
Davis , Dept of Statistics
201 Statistics Building, 17321
rdavis@stat.colostate.edu
Prerequisite: ST 525.
Required Text: Time Series: Theory and Methods, 2nd
Edition
by P.J. Brockwell and R.A. Davis
Optional Text: ITSM for Windows
by P.J. Brockwell and R.A. Davis
Software for the course:

readme.doc (revised 83096) (Installation instructions for
ITSM96.)

unzip.exe (83096) (Utility to uncompress ITSM96 and/or ITSM6.)

itsm96.zip (83096) (Access limited.)
After the itsm96.zip and unzip.exe files have been downloaded, put
both files in your root directory on the C drive and issue the command
C:\> unzip itsm96
which will uncompress the program and data files in a newly
created subdirectory called itsm96. For further directions, read
the readme.doc file located in the itsm96 subdirectory.
>
See me if you need to get a copy of ITSM96.

itsm6.zip (4898) (Access limited.) This
version of ITSM is under development and requires a PC running
Windows 95 or Windows NT. We would appreciate your comments and help
in terms of both debugging (reporting errors) and design of the
software. Give this version a test spinit's fun!!
After the itsm6.zip and unzip.exe files have been downloaded, put
both files in your root directory on the C drive and issue the command
C:\> unzip itsm6
which will uncompress the program and data files in a newly
created subdirectory called itsm6. There is only one executable
file (pest.exe) and all the data files have the extesnion .TSM.
Run the programs directly from the C:\> prompt or from the RUN
selection under the START button on WINDOWS 95.

ITSM for the workstation This postscript document gives
instructions for the use of ITSM on the stat department's workstations.

lmexact.exe (71697) (Access limited.)
Executable for computing exact MLE of fractionally integrated models.

Time:
MF: 1:102:00, E106 ENG
W: 12:101:00 213 Stat Bldg
Office hours: MW: 23
Other References:
 Introduction to Time Series and Forecasting, Brockwell
and Davis
 The Analysis of Time Series, An Introduction,
Chatfield
 Introduction to Statistical Time Series, Fuller
 Time Series Analysis: Forecasting and Control, Box and
Jenkins
Topics to be Covered in Course:

ARMA modelling (continuation of ST 525). Forecasting techniques.

Spectral analysis.
Complexvalued stationary time series, properites of Fourier
transforms, spectral representations of autocovariance functions
and stationary time series, time invariant linear filters.

Spectral inference. The periodogram and its properties, Fisher's test,
estimation of spectral densities.

Multivariate time series. Cross covariance and the crossspectrum,
multivaraite ARMA processes, multivariate spectral representations,
linear filtering.

Statespace models. Structural models, Kalman recursions, generalized
statespace models.

Further topics. Transfer function modelling, intervention analysis,
nonlinear models.
 Course Assignments:
 HW 1 (Due 27): 6.2, 6.3, 6.4, 6.12, 6.13
 HW 2 (Due 219): 9.2, 9.4, 4.2, 4.3, 4.5
 HW 3 (Due 226): 4.7, 4.8, 4.9, 4.10, 4.16
 HW 4 (Due 35): 4.17, 4.19, 5.20, 5.22, 10.1, 10.2
 HW 5 (Due 319): 10.7, 10.8, 10.10, 10.11, 10.15
 HW 6 (Due 328): 10.3, 10.12, 10.1510.17
 HW 7 (Due 44): 10.12,10.13,10.1810.21
 HW 8 (Due 414): 11.1, 11.2, 11.5, 11.6, 7.3(B&D II)
 HW 8 (Due 421): 7.4, 7.5, 11.10, 11.20
Grading:
Homework 
25% 
Midterm 
30% 
Final Exam 
45% 
Midterm schedule:
Email Professor Davis about something