TMA4285 Time Series Models, Autumn 2015


8.12.2016: If you're interested in more mechanistic models (rather than the black box type of models taught in this course) and you have an interest in ecology and evolution, you should consider taking the course ST2302.

5.12.2016: Here are the grades on the exam. My impression is that almost everybody seemed to run out of time due to some of the problems involving somewhat time consuming numerical calculations so I have adjusted the cut-off points for A, B, …, E from this to 0.83, 0.72, 0.61, 0.50 and 0.40 respectively. The grades on the projects should be available on itslearning. If you found time series modelling interesting (in particular, Kalman filtering) look at the first project listed here.

18.12.2015: This years exam and a preliminary solution.

14.12.2015: Here you'll find information about where the exam takes place. Room JC12 and JB11 are both on Campus Moholt, Jonsvannsveien 82 (follow the links for a map).

11.12.2015: I'm available at room 1232 in sentralbygg II on monday, december 14 to answer any questions you have before the exam. Permitted aids at the exam are the same as in previous years. You can pick up a yellow A5 sheet outside the department office on the 7th floor in sentralbygg II.

11.11.2015: Next week we summmarize the most imporant parts of the course, and go through some previous exams. I'll also be available at the computer lab the next two coming tuesdays to help with the projects.

3.11.2015: Problem 2 on project 2 has been posted. No lecture tomorrow on november 4. Ch. 15 (ARCH and GARCH models) next week.

26.10.2015: The exercises have been moved to Tuesdays 10-1114-15 at Nullrommet (380a).

19.10.2015: For those who don't have access to it's learning you can can submit your project by email directly to Xin Luo.

7.10.2015: The exam is being moved to Wednesday, december 16 (the new date should appear here by tomorrow).

28.9.2015: We will try to move the exercises/computer lab to a better time point. Please answer this poll.

22.9.2015: Problem 2 has been added to project 1.

16.9. 2015: If you need help finding someone else to collaborate with on the project, please submit your email here and I'll try to organize you into groups. You may of course also selforganize into groups of one or two persons.

7.9.2015: I'm awaiting an update from the exam administration concerning possible dates for the exam; given the regulations, a final decision cannot be made until after the deadline for signing up to exams on Sept. 15.

19.8.2015: According to the exam administration, the only possible dates based on who has currently signed up for exams in various courses on studweb is december 10 and december 12. We'll try to decide on a tentative date at todays lecture.

17.8.2015: I have contacted the exam administration and they will find a new suitable exam date based on the who has signed up for this and other courses (so please make sure that you have signed up for the exam in the courses you actually plan to take and none other on

10.8.2015: If possible and if everybody agree, we may move the date of the exam (december 11) to avoid colliding with the exam in TMA4195 Mathematical Modelling.

6.8.2015: The first lecture will be on Monday August 17, 10:15-12:00 in H3.

Lecture history

This document contains a summary of the lectures and what parts of the textbook we have gone through aswell as some additional material.

Obligatory projects

Project Text Deadline
1 Problem 1, Problem 2 Oct. 20, 12:00
2 Problem 1 Problem 2 Nov. 30, 12:00

You may work in groups of one or two in which case, overleaf or similar tools can be recommended for writing the report. Knitr and Rstudio can also be recommended but perhaps only if you work on your own. Signing into sharelatex with your email (ntnu has a subscription) will allow syncing between dropbox and sharelatex (which is convenient when revising figures).

Write your name(s) on the report, not student or candidate numbers.

To solve the problems you may use the computers in the student computer lab of the Department of Mathematical Sciences. If you don't already have a user and physical access to these computer labs you must send a mail to the lecturer and ask for this.

The two projects will in total count 20% of the final grade.

Weekly exercises

Week Text Solution
43 Ex. 4.1, 4.2a, 4.5, 5.2, 5.5 Solution
40,41,42 No exercise, work with the project
39 Exam December 2013, Problem 1a, 2a,b,c,d Solution
38   Exercise 4 Solution
37   Exercise 3 Solution
36   Exercise 2 Solution
35 Ex. 2.1-2.4 in Wei (hint) Solution

Preliminary curriculum

The curriculum consists of what is discussed in the lectures and what is covered in the exercises. The topics discussed in the lectures are also covered by the following chapters in "Wei, W.W.S. (2006). Time series analysis. Univariate and multivariate methods, 2nd edn, Pearson Addison Wesley".

  • Chapt. 1. All.
  • Chapt. 2: All.
  • Chapt. 3: All.
  • Chapt. 4: All.
  • Chapt. 5: All.
  • Chapt. 6: 6.1-6.2, 6.4.
  • Chapt. 7: 7.1-7.2.1, 7.2.3-7.5.
  • Chapt. 8: All.
  • Chapt. 15: All.
  • Chapt. 18: 18.1-18.2,18.5.

Old exams

Course Information

Lecturer: Jarle Tufto. Teaching assistant: Xin Luo

Lectures: Mondays 10:15-12:00 H3, Wednesdays 14:15-16:00 K5

Exercises: Wednesdays 08:15-09:00 F6 Tuesdays 14:00-15:00 Nullrommet 380A.

Course description

Reference group: Abdul Ghaffar (AG) and Moritz Bogs.

2016-01-14, Jarle Tufto