An introduction to time series analysis in the time domain and
frequency domain. Topics will include: Stationarity,
autocorrelation functions, autoregressive moving average models,
partial autocorrelation functions, forecasting, seasonal ARIMA
models, power spectra, discrete Fourier transform, parametric
spectral estimation, nonparametric spectral estimation.
Time Series Analysis and its
Applications. With R Examples., by Robert H. Shumway
and David S. Stoffer. Springer. 2nd Edition. 2006. web site.
101, 134 or consent of instructor.
(35%): posted every two weeks, and due on Wednesdays at 11
(at the start of the section). The grade will be the average of the
all homework grades except the worst.
Midterm Exam (25%):
scheduled for October 16, at the lecture. Final Exam (40%):
scheduled for Saturday 12/15/07. See http://registrar.berkeley.edu/Scheduling/examf.html.
1: ps, pdf.
Due Monday, September 10 at 11am, in Evans 332.
2: ps, pdf.
Due Wednesday, September 26 at 11am, in Evans 342.
Thursday, December 6:
The final exam will be open-book: you can bring any
material you like. It will cover all of the course. There
will be five questions. Each part of each question will
have a percentage listed. For each question, these sum to
25%. Your total score on the exam will be the sum of the
four highest scores for these five questions. Therefore
you need only answer four questions, but you may answer
all five if you wish.
Here are some review questions from Shumway and Stoffer
(for the material covered since the mid-term): 3.18,
3.26, 3.27, 3.33, 3.34, 3.38, 3.39, 3.40, 4.3, 4.4,
4.7, 4.16, 4.18, 4.21, 4.23, 4.24, 4.25, 4.27, 4.33,
4.34 (clim-hyd.dat), 5.11, 5.12a-b.
For the week of Dec 10-14, Prof Bartlett
will have office hours on Tue, Dec 11, 9:30-11:00 in Evans 399
and on Wed, Dec 12, 1:30-3:00 in Soda 723. Nate Coehlo will have
office hours on Fri, Dec 14, 12:15-2:15 in Caffe Strada.
Friday, November 16: As announced in the lectures, if
you emailed a project proposal to my stat.berkeley.edu
address and have not received a response, it means
I did not receive it. Please send it again to my
Tuesday, October 23: The project has been posted: ps, pdf.
It's time to start thinking about a time series that you would like
to investigate. An emailed proposal is due on Friday, November 9,
the report is due on Friday, November 30 at 5pm.
Thursday, October 11: Some review questions from Shumway and
Stoffer: 1.4, 1.5, 1.6, 1.7, 1.9, 1.10, 1.15, 1.16a, 1.25,
3.1, 3.3, 3.4, 3.5, 3.6, 3.7, 3.8, 3.9, 3.10, 3.11, 3.12, 3.13,
Sunday, October 7: Remember that the mid-term exam
will be in class (11:00-12:30) on Tuesday, October 16.
It will be an open-book exam: you can bring any material
you like. Exam papers will be handed out at 11:10,
the exam will go from 11:15 to 12:25. There will be
6 questions. You may answer all six if you wish;
your grade will consist of the total from the best
five questions. Each part will have a percentage
written next to it - the percentage of the grade
that it constitutes. Please take notice of this. The
percentages reflect the relative significance of the
relevant material, not how much time it will take to
answer the question.