Syllabus Time Series Examples Objectives of TSA Homework 1a

STA 4853 & 5856—Intro to Time $eries and Forecasting

Arthur Berg

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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

Class Info

Instructor: Arthur Bergalways available right after class and during office hours

Email: berg@ufl.eduPlease include “time series" in the subject line.Office: 408 McCarty Hall COffice hours are Mondays 5:00–6:00pm and Wednesdays 2:00–3:00pm

Class InfoSection #1083 (STA 4853) #1815 (STA 5856), MWF,12:50–1:40 pm (period 6), FLO 100

Class Webpagehttp://www.stat.ufl.edu/∼berg/sta4853

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Books

TextbookTime Series Analysis : Univariate and Multivariate Methods, 2nd edition(2005), by William W.S. Wei.References

SAS for Forecasting Time Series, Brocklebank and Dickey, 2nd Edition(2003), SAS Publishing. (SAS Code)Time Series Analysis and Its Applications: With R Examples, Shumway andStoffer, 2nd edition (2006), Springer.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

Prerequisites and Topics Covered

PrerequisitesSTA 4322 or STA 5328 or equivalent. Topics covered in STA 4322(Mathematical Statistics 2): sampling distributions, central limit theorem,estimation, properties of point estimators, confidence intervals, hypothesistesting, common large sample tests, normal theory small sample tests,uniformly most powerful and likelihood ratio tests, linear models and leastsquares, correlation, introduction to analysis of variance.Topics CoveredWe will for the most part follow the organization of the textbook. Thisincludes the following topics:

• Fundamental Concepts • Intervention Analysis• SARIMA Models • Unit Root Testing and Cointegration• Forecasting • ARCH and GARCH Models• Model Identification • Spectral Domain• Parameter Estimation • State Space Models and the Kalman Filter

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Grading Policy

SoftwareLearning a statistical software package is not required for this course,however will be utilizing the packages R and SAS in the lectures.

Grading PolicyHomework 33.3% A 90%—100% C 70%—75%Midterm 33.3% B+ 85%—90% D 60%—70%Final 33.3% B 80%—85% E <60%

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

Examples

Agricultureannual crop productioncrop prices

Business/Economicsdaily stock pricesweekly interest ratesmonthly price indexesquarterly salesyearly earnings

Engineeringsoundelectric signalsvoltage

Medical StudiesEEGEKG

Meteorologyhourly wind speeddaily temperatureannual rainfall

Quality ControlSocial Sciences

annual birth ratesmortality ratesaccident ratescrime rates

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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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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

Due Date for HW 1

The due date for all of homework 1 is two weeks from Wednesday on Jan23. Be sure to keep up with the assignments and not wait until the daybefore they are due!

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Textbook Reading

Read the following sections from the textbookChapter 1: Overview

§2.1–2.5: Stochastic Processes, ACF, PACF, White Noise, Estimators(skip over §2.3 for the meantime if too technical)

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Install R!

Install the latest version of R (version 2.6.1) on your computer. Then execute thecommands below.

> 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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Syllabus Time Series Examples Objectives of TSA Homework 1a

Find an Article

Find an interesting article in your field that involves one or multiple timeseries, and print the title, abstract and citation of the article.

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Exercises

Do the following exercises.#2.1 on page 30

#2.3 on page 31

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