# TMA4285 Time Series Models Fall 2010

Course description is given here

## Messages

Welcome to the course TMA4285 Time Series Models Fall 2010. The first lecture will take place in F2 Tuesday August 24.
Tuesday 31: Chapter 2.3-2.5
Thursday September 2: 2.5-2.7
Tuesday September 7: 2.7- 3.1
Thursday 09.09 : 3.1
Tuesday 14.09: No lecture
Thursday 16.09: 3.1.3 -3.4
Tuesday 21.09: 3.4.2 -4.2
Thursday 23.09: 4.2-4.3
Tuesday 28.09: 5.1-5.4
Thursday 30.09: 5.3-5.6
Tuesday 05.10: 6.1-6.2, 6.4
Thursday 07.10: Chapter 8, 7.5
Tuesday 12.10: No lecture. Work with Compulsary exercise 1.
Thursday 14.10: 7.1-7.4
On Monday 16.10 there will be no ordinary exercise. But you can come and ask questions about the compulsory exercise.
Tuesday 19.10: 7.2-7.7
Thursday 21.10: 7.4-7.7, 15.1
Tuesday 26.10: 15.2-15.3
Thursday 29.10: 15.4-18.1
Tuesday 02.11: 18.1, 18.2-18.5
Thursday 04.11: 18.5
Tuesday 09.11: Applications of the Kalman Filter
Thursday 11.11: Compulsory exercise 1 and Exam 2009
Tuesday 16.11; Rest of Exam 2009, Problem 2, 2006
Thursday 18.11: No lecture
On Monday 21.11 there is no weekly exercise, but you can come and ask about the compulsory exercise.
Tuesday 23.11: Repetition
Thursday 25.11: No lecture. Do exam 2008 on your own.
slides from last lecture
Solution exam 9.12.2010

## Lectures

Tuesdays 14:15-16:00 in F2
Thursdays 8:15-10:00 in F3

## Teacher

John Tyssedal tyssedal [at] stat [dot] ntnu [dot] no , Room 1132 SII.

## Teaching Assistant

Javad Rezaie, Department of Mathematical Sciences, Room 1036, SII. rezaie [at] math [dot] ntnu [dot] no

## Compulsory Exercises

#### First compulsory exercise

There will be two compulsory exercises. The first compulsory exercise can be found here
Some useful R-commands can be found here: Commands
In general you can find out a lot about R by going to the web-site: http://cran.r-project.org/
Results compulsory exercise 1

#### Second Compulsory Exercise

The second compulsory exercise can be found here
Hers is some information about useful R-Packages.
Library tseries
Library sspir
Library fGarch
Results compulsory exercise 2

## Teaching Material

Wei,William W.S. (2006): Time Series Analysis, "Univariate and Multivariate Methods". Second edition Pearson, Addison Wesley.

## Tentative Lecture Plan

Week Chapter Topic Exercise
34 1, 2 Stochastic processes and autocorrelation
35-36 3 Stationary Time Series Models 1, 2
37 4 Nonstationary Time Series Models 3
38-39 5 Forecasting 4, 5
40 6.1-6.2, 6.4 Model Identification, Parameter estimation 6
41-42 7.1-7.2.1,7.2.3-7.5 Diagnostic Checking, Model selection 7, 8
43 8 Seasonal Time Series 9
44 15 Time Series Regression and Garch Models 10
45-46 18.1-18.2, 18.5 State Space Models and the Kalman Filter 11,12
47 Repetition

## Exam

December 8, 2010

Meeting hours before exam:
December 6. 12-14
December 7. 12-14.

As for previous exams you are allowed to bring with you one yellow A5 sheet with your own formulas and notes. The sheet of paper need to be stamped and you can get it at the Department office, seventh floor SII.