ST 526 Time Series II
- Instructor:
-
Richard
Davis , Dept of Statistics
201 Statistics Building, 1-7321
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 8-30-96) (Installation instructions for
ITSM96.)
-
unzip.exe (8-30-96) (Utility to uncompress ITSM96 and/or ITSM6.)
-
itsm96.zip (8-30-96) (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 (4-8-98) (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 spin--it'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 (7-16-97) (Access limited.)
Executable for computing exact MLE of fractionally integrated models.
-
Time:
MF: 1:10-2:00, E106 ENG
W: 12:10-1:00 213 Stat Bldg
Office hours: MW: 2-3
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.
Complex-valued 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 cross-spectrum,
multivaraite ARMA processes, multivariate spectral representations,
linear filtering.
-
State-space models. Structural models, Kalman recursions, generalized
state-space models.
-
Further topics. Transfer function modelling, intervention analysis,
nonlinear models.
- Course Assignments:
- HW 1 (Due 2-7): 6.2, 6.3, 6.4, 6.12, 6.13
- HW 2 (Due 2-19): 9.2, 9.4, 4.2, 4.3, 4.5
- HW 3 (Due 2-26): 4.7, 4.8, 4.9, 4.10, 4.16
- HW 4 (Due 3-5): 4.17, 4.19, 5.20, 5.22, 10.1, 10.2
- HW 5 (Due 3-19): 10.7, 10.8, 10.10, 10.11, 10.15
- HW 6 (Due 3-28): 10.3, 10.12, 10.15--10.17
- HW 7 (Due 4-4): 10.12,10.13,10.18--10.21
- HW 8 (Due 4-14): 11.1, 11.2, 11.5, 11.6, 7.3(B&D II)
- HW 8 (Due 4-21): 7.4, 7.5, 11.10, 11.20
Grading:
| Homework |
25% |
| Midterm |
30% |
| Final Exam |
45% |
Midterm schedule:
E-mail Professor Davis about something