Statistics 248 (D. R. Brillinger) - Some details - Spring 2003

The Analysis of Time Series (4)

Classes: TuTh 1400-1530 in 1011 Evans

Lab Section: Fri 1100-1300 in 330 Evans

Meant for graduate students in Statistics and other Departments.

The required text for the course is:

P. J. Brockwell and R. A. Davis (2002) Introduction to Time Seri es and Forecasting, Second Edition. Springer.

The recommended text is:

Brillinger, D. R. (2001). Time Series Data Analysis and Theory. SIAM Reprint.

The computer packages R, Splus, ITSM will be used. Some may choose to use Matlab.

We will move quickly through the pertinent material of the first six chapters in Brockwell and Davis, then into the later chapters: Multivariate Time Series, State Space Models, Forecasting Techniques, Further Topics (GARCH, long memory, ...). We will also spend substantial time on the frequency/spectra approach to time series.

The grade will come from a combination of Homeworks, a Project Proposal and an Independent Project.

Prerequisites: Statistics 101&102 or 134&135 or equivalents.

Course structure

Homework assignments

Handouts

Some examples of empirical Fourier analysis in scientific problems (1999)

The digital rainbow: some history and applications of numerical spectrum analysis (1993)

Instructor: David R. Brillinger

Office Hours:Wed 1500-1800. In 417 Evans.

GSI: Pawel Lasiecki pawel@stat.berkeley.edu

Office Hours: Mon 3:30-5:00

Course homepage: http://www.stat.berkeley.edu/~brill/Stat248/index.html

4/5/2003

brill@stat.Berkeley.EDU