STAT-F-405

Click here for schedule and location.
Monday 08.10-10.00
Tuesday 10.00-11.50
EXAM: June 6, 2012, 8.00-12.00. Room S.R.2.4. 113
PRACTICAL SECTION: April 23, 8.00-10.00 and 12.00-14.00 Salle des Prof (building NO, 9th floor). You should bring your laptop!

Content

In this course we study linear time series, mainly in the time domain. The aim is to provide a thorough understanding of the mathematical basis of this theory. I will follow closely the excellent account of Brockwell and Davis (1991). Topics will include Hilbert spaces, ARMA models, prediction, estimation and model building. NOTE: next semester I will teach a continuation of this course, Timer Series II, where we will also go into nonlinear time series (e.g. GARCH), spectral analysis, Kalman filtering etc.

Literature
Brockwell, P. and Davis, R. (1991) Time Series: Theory and Methods. 2nd Edition. Springer.
Shumway, R. and Stoffer, D. (2006) Time Series Analysis and Its Applications. 2nd Edition. Springer.
Hamilton, J. (1994) Time Series Analysis. Princeton University Press.

Lecture Notes

Data

Johnson & Johnson data
Global temperatures
Speech recordings
NYSE
Number of sunspots
Recruitment data

Updated: March 28, 2012