Applied Mathematics APPM 4/5540

Introduction to Time Series

The latest:
  • Review Problems for the Final, Solutions
  • Innovations Algorithm in R
  • R Function to Compute Theoretical ACVF
  • Promised details from 4/26 Lecture
  • Kalman Filter Slides
  • Evolving Data Analysis Slides, ARMA data, GE data      

Spring 2010

  • Syllabus
  • Homework
    • Problem Set 1, Solutions
    • Problem Set 2 , Solutions
    • Problem Set 3 , Solutions
    • Problem Set 4 , Solutions
    • Problem Set 5 , Solutions
    • Problem Set 6 , Data Set One, Data Set Two, DataSet Three, Solutions
    • Problem Set 7 , Solutions
  • R Stuff
    • First R Tutorial and Mauna Loa Data
    • Second R Tutorial
    • Model Selection: AIC in R
  • Graphs
    • from Jan 11th
    • from Jan 20th
  • Extra Notes
    • Infinite Sums of Random Variables (optional reading)
    • ARMA Solution and Roots of Phi?
    • Finding an a.c.v.f. by Method One and Method Two (Highly Recommended Reading)
    • On the Invertibility of the Gamma Matrix
    • Lecture Notes for Friday, February 26th!
    • Asymptotics for the Yule-Walker Estimators
    • The Extended Durbin-Levinson Handout
    • Model Selection: AIC in R
  • Exam Stuff
    • Review Problems for Exam 1 and Solutions!
    • Review Problems for Exam 2 and Solutions!

    News

    • January 11: There will be no class on Friday, January 15. (I will be out of town for a conference.) Please use this time to familiarize yourself with the software package "R". A walkthrough beginner tutorial will be posted here before Friday. R is installed on the machines in several labs around campus including ECCR 252 (and adjoining labs) and ECCR 143 (a BuffOne card access lab). If you have access to the Newton Lab (for example, APPM graduate students), R is installed on all machines there as well. R is available for free to anyone for home use and may be downloaded from www.r-project.org.

      I am counting on you to use this time of the cancelled class to familiarize yourself with some basic R commands but most importantly to figure out how you will access the software. If you can't get started with R, I will be more than happy to go to a lab with you to help when classes resume in the second week, but I do not want to be dealing with start-up issues by the time the first R assignment comes around!
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      Last changed: January 11, 2010