# 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

## Weekly Exercises

Mondays 10:15-11:00 in F3. There will only be 10 weekly exercises.

Exercise 1: 2.1 - 2.4 from the book.
Solution exercise 1

Exercise 2
Solution Exercise 2

Exercise 3
Solution Exercise 3

Exercise 4
Solution Exercise 4

Exercise 5
Solution Exercise 5

Exercise 6
Solution Exercise 6

Exercise 7
Solution Exercise 7

Exercise 8
Solution Exercise 8

Exercise 9
Solution Exercise 9

Exercise 10
Solution Exercise 10

## 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.