Stat 7338 Time Series Modeling and Filtering, Fall 2007

Fall 2009 course

Stat 7338 - TIME SERIES

Time: MW 5³⁰ - 6⁴⁵ pm
Room: CB3 1.314 (this building was also named AH3; this is the new building right near CBW)
Instructor: Michael Baron

Strikes data for Homework 4

Example: Population trends
Look at the U.S. population data. Use regression analysis to justify the use of a quadratic model. Find the best regression forecast for the U.S. population in years 2010 and 2020.

Course content

Introduction and examples. Autocovariance function.
Hilbert spaces (this is the Mathematical background that will allow us to treat the best predictor as orthogonal projection and to obtain prediction equations)
MA, AR, and ARMA processes; causal and invertible processes (most popular time series models; later we will prove that any stationary process is "approximately" ARMA)
Spectral representation of a stationary process. Prediction in frequency domain
Recursive computation of the best linear predictor and its mean squared error
- Durbin-Levinson algorithm
- Method of innovations
Estimation and model selection. Goodness-of-fit issues
Nonstationary time series, ARIMA models and extentions

Textbook:
Time Series: Theory and Methods by P. Brockwell and R. Davis, 2nd edition, Springer, 1998 or 2009
The softcover printing (2009) is OK, all the page numbers match
Coverage: Most of chapters 1-7, parts of chapters 8-11

Prerequisites: STAT 5351 + STAT 5352 (Mathematical Statistics) or equivalent

Corequisite: STAT 6331 (Statistical Inference)

Grading:

Homework 0% Homework will be assigned but will not be collected or graded. A serious and steady effort to work out all the homework problems is highly recommended.

Quizzes 30% Short weekly quizzes closely related to the material of the latest homework assignment

Midterm exam 30% A 1 1/4-hour midterm covers chapters 1-4 of [BD].

Final exam 40% A 2-hour final covers chapters 5, 7-11 of [BD], but it is cumulative indirectly. Exams are open-book, -notes, etc.

Any questions?

Call: (972)-UTD-6874
Write: mbaron@utdallas.edu
Click: www.utdallas.edu/~mbaron/

Time:	MW 5³⁰ - 6⁴⁵ pm
Room:	CB3 1.314 (this building was also named AH3; this is the new building right near CBW)
Instructor:	Michael Baron

Prerequisites:	STAT 5351 + STAT 5352 (Mathematical Statistics) or equivalent
Corequisite:	STAT 6331 (Statistical Inference)

Homework	0%	Homework will be assigned but will not be collected or graded. A serious and steady effort to work out all the homework problems is highly recommended.
Quizzes	30%	Short weekly quizzes closely related to the material of the latest homework assignment
Midterm exam	30%	A 1 1/4-hour midterm covers chapters 1-4 of [BD].
Final exam	40%	A 2-hour final covers chapters 5, 7-11 of [BD], but it is cumulative indirectly. Exams are open-book, -notes, etc.