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STA 6857—Applied Time Series Analysis: Introduction(§1.1, 1.2)
Arthur Berg
Alice sighed wearily. ‘I think you might do something better with the time,’ shesaid, ‘than waste it in asking riddles that have no answers.’‘If you knew Time as well as I do,’ said the Hatter, ‘you wouldn’t talk aboutwasting IT. It’s HIM.’‘I don’t know what you mean,’ said Alice.‘Of course you don’t!’ the Hatter said, tossing his head contemptuously. ‘I daresay you never even spoke to Time!’‘Perhaps not,’ Alice cautiously replied: ‘but I know I have to beat time when Ilearn music.’‘Ah! that accounts for it,’ said the Hatter. ‘He won’t stand beating.’
Lewis Carroll, Alice’s Adventures in Wonderland
Syllabus Time Series Examples Objectives of TSA Homework 1a
Outline
1 Syllabus
2 Time Series Examples
3 Objectives of TSA
4 Homework 1a
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Outline
1 Syllabus
2 Time Series Examples
3 Objectives of TSA
4 Homework 1a
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Syllabus
Instructor: Arthur Bergalways be available right after class and during office hours
Email: [email protected] include “STA 6857" in the subject line.Office: 408 McCarty Hall COffice hours are Mondays 5:00–6:00pm and Wednesdays 2:00–3:00pm
Class InfoSection #6084, MWF, 12:50–1:40 pm (period 6), FLO 230
Class Webpagehttp://www.stat.ufl.edu/∼berg/sta6857
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Syllabus II
TextbookTime Series Analysis and Its Applications: With R Examples2nd edition (2006), by Shumway and Stoffer.References
Time Series Analysis: Univariate and Multivariate Methods, William Wei,2nd edition (2006), Pearson/Addison Wesley.The Analysis of Time Series: An Introduction, Chris Chatfield, 6th edition(2003), Chapman & Hall / CRC.Time Series: Theory and Methods, Brockwell and Davis, 2nd edition (1991),Springer.Time Series Analysis, James Hamilton, (1994), Princeton University Press.
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Syllabus III
PrerequisitesSTA 4322 (an introductory statistics course) and a basic computer languageare the prerequisites.Topics CoveredWe will (try to) go over most of the textbook. This includes the followingtopics:
Characteristics of Time SeriesTime Series Regression and Exploratory Data AnalysisARIMA ModelsSpectral Analysis and FilteringAdditional Time Domain TopicsState-Space ModelsMethods in the Frequency Domain
SoftwareWe will be using the free, yet powerful, statistics software package R. Rwill be used in your homework and in the lectures, and you will be testedon R’s commands and output at the end of the class.
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Syllabus IV
Grading PolicyMidterm 35% A 90%—100% C 70%—75%Homework 35% B+ 85%—90% D 60%—70%Final Project 20% B 80%—85% E <60%R Test 10% C+ 75%—80%
Changes to the SyllabusI reserve the right to change the syllabus as circumstances necessitate, butno new policy will be enforceable until after you have been notified in class.
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Outline
1 Syllabus
2 Time Series Examples
3 Objectives of TSA
4 Homework 1a
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Definition
Definition (Time Series)A time series is a collection of observations made sequentially through time.
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Economic and Financial Data
share pricesexport totalsaverage incomecompany profits
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Physical Data
rainfall
air temperature
seismic activity
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Marketing Data
sales figuresmonetary receiptsadvertising costs
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Demographic Data
population totalsbirth counts
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Outline
1 Syllabus
2 Time Series Examples
3 Objectives of TSA
4 Homework 1a
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Description
trend
seasonal effects
heteroscedasticity
spectral density
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Explanation
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Prediction/Forecasting
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Control
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Outline
1 Syllabus
2 Time Series Examples
3 Objectives of TSA
4 Homework 1a
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Textbook Reading
Read the following sections from the textbook§1.1 (Introduction)
§1.2 (The Nature of Time Series Data)
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Syllabus Time Series Examples Objectives of TSA Homework 1a
Install R!
Install the latest version of R (version 2.5.1) on your computer. Then execute thecommands below and paste the output into a Word (or equivalent) document.Give a printout of the word document with the rest of homework 1 (assignedlater).
> version> memory.size()> memory.limit()> demo(graphics)> demo(persp)
Example Output:> versionplatform i386-pc-mingw32arch i386os mingw32system i386, mingw32statusmajor 2minor 5.1year 2007month 06day 27svn rev 42083language Rversion.string R version 2.5.1 (2007-06-27)
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