Statistics 248 - Some tentative Details - Spring 2016

 

Analysis of Time Series

   Subtitle. Random Process Data Analysis: Models and Methods

Meant for.  Graduate students in Statistics and other Departments.

Instructor. David Brillinger, brill@stat.berkeley.edu 
Office hours: Wednesday 15:00 - 18:00 (or just before sunset if it is earlier) in 417 Evans

GSI. Suzette Puente 
Office Hours TBA

Classes. Tu Th 11:00 - 12:30 in 330 Evans

Lab Section. Friday 15:00 to 17:00 334 Evans [May change]

Lab website. TBA

Course Homepage. www.stat.berkeley.edu/~brill/Stat248/index2016.html

    See also 248 bCourses site

The grade. Will come from a combination of a scientific paper proposal and an independent scientific paper.

The proposal is due Tuesday March 29 at class and the paper is due Monday May 9, by 3pm, under my office door, 417 Evans or in 367 Evans.

Prerequisites. Some probability and statistical inference background

The course. Time series, {X(t)}, will be defined in a broad manner. In particular “time” may take values in Rk or be function-valued. The values of  X may be in other than  Rl

Course materials will be directed towards students carrying out an analysis of pertinent scientific data using methods covered in the course (or others agreed upon with the Instructor). The resulting scientific paper constitutes the final exam for the course.

The lab.  Will cover the real-valued time case, and  material from the statistical package R, particularly the time series functions. It is meant to will the students realize their time series papers.

R time series issues. See Stoffer’s  www.stat.pitt.edu/stoffer/tsa2/Rissuess.htm

Sylabus. [In preparation]

Some pertinent books: 

R. H. Shumway and D. S. Stoffer (2011). Time Series Analysis and Its      Applications with R Examples. Available electronically via OskiCal and by purchase from Springer for $24.95.

Bloomfield, P. (2000). Fourier Analysis of Time Series: an Introduction, Second Edition. Wiley

   http://onlinelibrary.wiley.com/book/10.1002/0471722235

 D. R. Brillinger, Time Series: Data Analysis and Theory, SIAM. Particularly Addendum  Available electronically via OskiCal

Cryer, J. D., Chan, K-S. (2008). Time Series Analysis with Applications in R, Second Edition. Springer.

   http://download.springer.com/static/pdf/729/bok%253A978-0-387-75959-3.pdf?auth66=1391280984_afbc2cda6e5c4b4dffa062629486e78b&ext=.pdf

Douc, Moulines and Stoffer (2014) Nonlinear Time Series

Dutileul, P. (2011). Spatio-Temporal Heterogeneity. Cambridge

Gelfand,A. E., Diggle, P. J., Fuentes, M., Guttorp, P. (2010). Handbook of Spatial Statistics. CRC.

P. Guttorp, Stochastic Modelling of Scientific Data, Chapman and Hall. Available electronically: http://www.download-genius.com/download-k:Stochastic%20Modeling%20of%20Scientific%20Data.html?aff.id=6253 [In preparation]

Shumway and Stoffer EZ

Venables, W. N.  and Ripley,B. D. (2003). Modern Applied Statistics with S

   http://download.springer.com/static/pdf/619/bok%253A978-0-387-21706-2.pdf?auth66=1391281342_9752ec6ca873eb9e0e77056543b3cd87&ext=.pdf

Proposal and paper details.

1. Due on March 29, or earlier, is a 1-2 page proposal setting down -

a) a brief description of the data set you intend to analyse.,

b) an indication of the source of the data set,

c) the objectives of your investigation,

d) the analyses you anticipate completing.

These are to be brief. The point is that the instructor can interact with you a bit before you do a lot of work.

2. Due on May 9, or earlier, under my office door, 417 Evans, is your paper.

Please submit as a one-sided hard copy.

3. The course grade will come from your paper and proposal.

4. Exam. Your paper will constitute the course final.

The Paper

0. Have a title, sections and a summary.

START YOUR PAPER WITH "THE question that is will be considering in this study  is ..."

END YOUR PAPER WITH "My answer to the question is ..."

1. Please hand in a hard copy. Have it  12 pages, double spaced, point size  ≥12pt, single column, one-sided and one inch or larger margins.

2. As indicated above, start out your paper with the scientific question you will be addressing.

3. Describe the important parts of your analyses. Unless the instructor agrees to something else, use only methods discussed in class or in Cryer & Chan or in Gelfand et al or in Guttorp or in Shumway & Stoffer or in the DRB book.

4. Be specific, clear, factual.

5. Indicate details and sources of your data.

6. Provide the answer to your question and implications:

i) with subject-matter interpretation as possible,

ii) that are properly qualified (for the sceptical reader - here, me)

7. Lay out any final models (with uncertainties for parameter estimates as possible)

8. Mention especially important points (eg. model limitations, unexpected results, and suggestions for future studies.)

9. Include important computer commands in an Appendix. (These will be examined if there is a need and will not count in 12 page limit.)

10. Include a list of references.

11. If you analyze an ordinary time series, carry out both time- and frequency-side analyses.

12. For your paper provide some comparative discussion of the analyses, e.g. the time-side and the frequency-side results.

Some specific suggestions re the paper

1. Be clear what the question you are addressing is. Remember to provide a clear answer.

2. Check the basic assumptions (eg. stationarity, no outliers present) by plotting the data, getting stem-and-leafs, etc.

3. Think about the available EDA methods, eg. re-expression of the origibal data.

Some previous papers.

Characteristics of variable frame rate videos

Potential fields in predicting primate reaching behavior

Does cell-specific synapse strengthening induce cell-specific changes in neural dynamics in the            

corticostriatal circuit?

A preliminary time series analysis of bitcoin prices

Time series analysis of trader inventories

How bad is distracted driving?

What is missing in the Newton-Euler dynamics: Time series analysis of mismatched sensing in      robot systems

Time and frequency domain analysis of climate impacts on evapotranspiration

Exploration of a relationship between electricity production from fossil fuels and renewable sources using time series analysis

Modeling vehicle thefts in Oakland

Can simulated earthquakes capture the key features of engineering interest found in recorded earthquakes?

Why, is automatic speech recognition far worse than human? Exploratory data analysis of speech signal and diagnosis of acoustic model

Comparison on slip rate pulsing from repeating earthquakes to geodetic data in creeping section of the San Andras Fault

A high frequency time series analysis of GOOG stock volatility during flash crash 2010

Time-series analysis for traffic flow of Cory Hall elevators

Epidemic type aftershock sequence model describing the Gulf of California and southern San Andreas fault zone

Computational fluid waves analysis and simulations

Failure identification in single overhead cam

Can the seasonality in Tibetan seismicity be explained by precipitation?

A time series analysis of the traffic flow on the Bay Bridge

Time series analysis of human joint movement

Time series analysis of chiller operations

Pitch detection

 

NOTE. Materials will be added to this page, and some changes introduced  as the semester progresses.

23 January 2016

brill@stat.Berkeley.EDU