Statistics 479/503: Time Series Analysis I
- The textbook: Time Series Analysis and Its
Applications, has been made available for download by
the authors R. H. Shumway and D. Stoffer; it can also be gotten here.
- Course information, schedule,
assessment procedures, etc. See also the legal stuff to be included with outlines.
notes.These are constantly under revision, both before and after class.
and using the R package:
- For a quick start you
can obtain R here and
install it on a PC by double-clicking on this .exe file and following the
instructions. There is a Mac version of R too; you'll need to consult the
'R home page' link below for this.
- What is R?
- The R home page
- An R manual
- The help files for the
authors’ astsa package are here in .pdf; they are also available from within R.
See this Appendix R, from a later version
of the text.
- See Section R.2 of the
text, starting on page 180; work through this after downloading R and
installing the required packages (see Section R.1, page 175 for this). You
might also look at this intro to R.
Code for R examples discussed in class and in the review
should find it useful to download and run these R scripts before the
classes in which they are to be discussed.
- Lecture 2 - U.S. births, with
moving average and residuals.
- Lecture 4 - Exploratory
techniques; time series regression.
- Lecture 6 - Simulated MA series
and sample ACF.
- Lecture 7 - Simulated AR series
and sample PACF.
- Lectures 12, 13 -
Analysis of FRB series.
- Review of Part II - Review; SOI and
Recruits series, Varve series.
- Lecture 14 - Sunspots series -
plot and acf only. Spectral "density" plots.
- Lecture 15 - Spectral density of
3-point moving average.
- Lecture 16 - Spectral density
of AR(2) series.
- Lecture 17 - A first spectral
filtering example; systolic blood pressure.
- Lecture 18 - Periodogram and
cross-periodogram; SOI and Recruits series.
- Lecture 19 - Impulse-response
analysis of SOI and Recruits series.
- Lecture 20 - Optimal
filtering; SOI series.
- Lecture 21 - Parametric
spectral estimation; tapering
- Review of Part III
Assignments: Solutions will not be posted. Shortly after
assignments are submitted there will be a lab session or special class
arranged, where the solutions will be discussed (note: discussed with you, not merely shown
to you). You are also strongly encouraged to see me, or the TA, to discuss your
work, before or after submitting it. Note from the schedule
that there are classes set aside for discussing assignments 2 and 3, before the
submission dates – these sessions won’t be of much help to you unless you have
already made a good start on the assignments.
- The importance of
clarity of exposition, and of grammatical correctness, in technical
writing cannot be over-emphasized. The best way to determine if you
understand what you are doing is to try to write it down in a form that
another reader can understand. Some comments along these lines are
included with the course information; for
some helpful resources see "Writing Aids" on my homepage.
- An Edmonton Journal
article on sunspots.
- Sir Gilbert Walker and a
connection between El Nino and Statistics.
- A good Primer on Complex
Numbers, by Paul Dawkins, is here.
Statistics resources at U of A:
of Doug Wiens
of Robert Shumway
of David Stoffer
Department of Mathematical and Statistical
Sciences Home Page