# TMA4285 Time Series Models Fall 2011

Course description is given here

## Messages

Welcome to the course TMA4285 Time Series Models Fall 2011. The first lecture will take place in F2 Tuesday August 23.

Tuesday August 30: Partial autocorrelation and 2.4-2.5.2.

Wednesday August 31: Sample ACF and PACF. Moving average representation. 2.5.2- 2.6

From week 36 on the lecture that is scheduled to be on Thursday 12-14 in F6 will be moved to Wednesday 10-12 in room E404/alias EL23 Electrical Engineering building.

Tuesday September 6: 2.6, 2.7 and 3.1 in the book.

Wednesday September 7: Stationarity of AR(p) processes, Yule-Walker equations

Tuesday September 13: Pacf of Ar(p), Acf, Pacf of MA(q), Dual representation

Wednesday September 14: Dual representation. ARMA(p,q)

Tuesday September 20: Non-stationary processes. Chapter 4.

Wednesday September 21: Transformations and Forecasting

Tuesday Sepember 27: Chapter 5. Forecasting

Wednesday September 28: Forcastfunction, Model Identification

Tuesday October 4. Model Identification, Diagnostic tools.

The fist compulsory exercise is now ready to work on. Deadline for handing in is October 25.

Wednesday October 5. Seasonal Arima Models

Tuesday October 11. Seasonal models and estimation (chapter 7)

Wednesday October 12. No lecture

Tuesday October 18. Chapter 7. Estimation

Wednesday October 19. Chapter 15. Arch and Garch models

A note on uncertainty in the estimators and the information matrix can be found here

Tuesday October 25. Arch and Garch models

Wednesday October 26. State space models

The second compulsory exercise is now ready to work on. Deadline for handing in is November 23.

Tuesday November 1. Kalman filter

Wednesday November 2. Application of the kalman filter.

The score on the first Compulsory exercise is available here

Tuesday November 8. First compulsory exercise. Some topics in time series.

Tuesday November 15. Exam 2010.

Tuesday November 22. Repetition slides from last lecture

The score on the second Compulsory exercise is available here

## Lectures

Tuesdays 14:15-16:00 in F2

Wednesdays: 10:15-12:00 in E404/EL23 Electrical Engineering building.

## Teacher

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

## Teaching Assistant

Shahrukh Hussain, Department of Mathematical Sciences, Room 1126 SII. Shahrukh [dot] Hussain [at] math [dot] ntnu [dot] no

## Weekly Exercises

Wednesdays 15:15-16:00 in F2. Exercises start in week 35. There will 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

No exercise in week 43 (October 24.-28.) due to compulsory exercise.

## 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/

#### 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

## 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 1, 2011: 9-13

Meeting hours before exam:

Tuesday 29: 12-14

Wednesday 30: 10-12

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.