STAT 248 - Spring 2009
Random Process Data Analysis

Instructor: Prof. David R. Brillinger
Classes: Tu & Th 14:00-15:30 332 Evans Hall.
Class web page

GSI: Irma Hernandez-Magallanes
Lab Section: Friday 12:00-14:00 344 Evans Hall.
OH: Wednesday 11:30-13:30 387 Evans Hall.

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Announcements

• During section on April 10th we just assume that under the summability of gamma(h), the spectral density is the long-term average of the periodogram. Here I attach a sketch of the proof: [sketch]
• Shumway and Stoffer Appendix book [appendix]
• Proposal due date: Thursday April 2nd.
• Some notes on notched boxplots from the book "Applications, Basics, and Computing of Exploratory Data Analysis" [notes] .
• On Thursday March 12th we went over the following handout on Time Series Analysis with R [lechand].
• On Friday February 27th I will bring to section previous years projects.
• The computer lab will be occupied regularly on Fridays. Tomorrow February 6th, we will cover some concepts through the analysis of a data set. I encourage you to bring your compute.
• Don't forget to bring your computer for the Friday's sections.
• We are going to have Office Hours on Wednesday from 11:30 am to 1:30 pm at 387 Evans Hall.
• First section will meet on Friday January 23rd. We will work basically with R, so you are welcome to bring your computer.
• If you are interested in being able to use the computer facilities at the Statistics Department and have a computer account for working during the course, please come to Friday's section so I can give you the details.

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Handouts

• Lab May 1st. Prewhitening. Cross-coherence. Lagged regression.
  Data: 1-year treasury constant maturity rate [one] . 10-Year Treasury Constant Maturity Rate [ten] .
  Code: [code]
• Lab April 24th. Leakage. Tapering. Cross-coherence. [handout 13]
  Data: Whittaker and Robinson, star magnitude [star]
  Code: [code] .
• Lab April 17th. Nonparametric spectral estimation and ARMAX [handout 12]
  Code: [code] .
• Lab April 10th. Bivariate analysis and nonparametric spectral estimation [handout 11].
  Data: recruitment [rec]
• Lab April 3th . Spectral Analysis [handout 10]. Handout part b [handout 10b] .
  Data: Southern Oscillation Index (SOI) [soi] .
  Code: [code] .
• Lab March 20th . SARIMA and spectral analysis [handout 9] .
• Lab March 13th . Fitting Sinusoids and spectral analysis [handout 8] .
  Data: Ozone concentration [ozone] .
• Lab March 6th. Diagnostic ARMA models and periodic series [handout 7] .
  Data: earthquake and explosion data (Shumway and Stoffer book) [earth] .
• Lab February 27th. Estimation and forecasting ARMA models handout [handout 6] .
  Code: foreecasting [predcode]
• Lab February 20th. ARMA(p,q) models. Seasonal Difference Operator handout [handout 5] .
  Data: tourists data 1996-2008 [tour] .
• Lab February 13th. Transformations, Smoothing and ARMA models handout [handout 4] .
  Data: USA population 1901-1998 [usapop] . Mortality [mort] .
• Lab February 6th. Stationarity and EDA handout [handout 3] . Handout part b [handout 3b] .
  Data: monthly gasoline demand [data4].
• Lab January 30th. Stationarity handout [handout 2b] .
  Data: Johson and Johnson [dat1] , Mortality [dat2] and Temperature [dat3] .
• Lab January 30th. Exploratory Data Analysis handout [handout 2] .
• If you want to get familiar withs some R commands, in the following attachment I have several examples [R commands] .
• Lab January 23rd handout [handout 1] . Fuel Price Index (FPI) Jan1979 - Dec2004 [fuel].

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Computing

• R Main page
• R download: [ Windows | Mac | Linux ]

R Manuals

• "An Introduction to R" [pdf]
by W.N. Venables, D.M. Smith and the R Development Core Team.
• " Modern Applied Statistics with S " by W.N. Venables, B.D. Ripley, Springer 4th Edition.
• "An Introduction to R" [pdf] by The Berkeley R Project, Departmento of Statistics, UC Berkeley, VIGRE.
• Some other manuals:
  "R Short Reference Card" [pdf] and "R Long Reference Card" [pdf]
  "An Introduction to R" by Phil Spector [pdf] ,
  "R for Beginner" by Emmanuel Paradis [pdf],
  "Econometrics in R" by Grant V. Farnsworth [pdf],
  " Introduction to S and S-Plus" by Phil Spector, Duxbury 1st Edition.

Editors

• Windows users: For R I use Tinn-R [download] and for Latex Tex Winshell [download]
• Mac users: For Latex, TeXShop.
• There are some other free editors available which I have not used myself but try them
  and let me know your impression: WinEdt, SciViews, XEmacs, Crimson Editor and jEdit.

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