Stat 153, Fall 2005:

Introduction to Time Series

People

			Office hours
Instructor	Peter Bartlett	bartlett@stat.berkeley.edu	Evans 399, Thu 1:30-2:30. Soda 527, Fri 3-4
GSI	Brad Luen	bradluen@stat.berkeley.edu	Evans 387, Tue 2-4. Evans 342, Wed 1-2.

Lectures: Evans 70. Tuesday/Thursday 11 - 12:30.

Computer Lab: One of Wed 12-1, and Wed 2-3. In Evans 342.

Classroom Lab: Friday 12-1, Evans 330.

Course Outline:

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.

Text:

Time Series Analysis and its Applications, by Robert H. Shumway and David S. Stoffer. Springer. 2000. web site.

Prerequisites:

101, 134 or consent of instructor.

Assessment:

Lab/Homework Assignments (40%): posted approximately weekly, and due at the start of the lecture.
Midterm Exam (25%): scheduled for October 20, at the lecture. Covers material up to (and including) Yule-Walker estimation.
Final Exam (35%): scheduled for Thursday 12/15/05. See http://registrar.berkeley.edu/Scheduling/examf.html.

Lab/Homework Assignments:

The numbers in parentheses represent the proportion of the grade associated with each assignment. Here, c is a constant that will be chosen so that the proportions sum to 40%.

1 (c): ps, pdf. Solutions. Due Friday, September 9 at noon, in Evans 330.
2 (c): ps, pdf. Due Friday, September 23 at noon, in Evans 330. Solutions.
3 (c): ps, pdf. Due Friday, October 7 at noon, in Evans 330. Solutions.
4 (c): ps, pdf. Due Friday, November 4 at noon, in Evans 330. Data.
5 (c/2): ps, pdf. Due Tuesday, November 15 at 11:10, in Evans 70.
6 (c/2): ps, pdf. Due Friday, November 18 at noon, in Evans 330.
7 (c/2): ps, pdf. Due Tuesday, November 29 at 11:10, in Evans 70. Data.
Project (2c): ps, pdf. Due Wednesday, December 7.

Lectures:

Tue, Aug 30. Chapters 1.1-1.3, 1.7-1.8. slides: ps pdf.
Thu, Sep 1. Chapter 1.4-1.5. slides: ps pdf.
Tue, Sep 6. Chapter 1.6. slides: ps pdf.
Thu, Sep 8. Chapter 1.6 (+1.12), 2.1-2.2. slides: ps pdf.
Tue, Sep 13. Chapter 2.2. slides: ps pdf.
Thu, Sep 15. Chapter 2.2, 2.4. slides: ps pdf.
Tue, Sep 20. Chapter 2.3. slides: ps pdf.
Thu, Sep 22. Chapter 2.4, 2.5, T2.15. slides: ps pdf.
Tue, Sep 27. Chapter 2.4, 2.5. slides: ps pdf.
Thu, Sep 29. Chapter 2.5. slides: ps pdf.
Tue, Oct 4. Chapter 2.5. slides: ps pdf.
Thu, Oct 6. Chapter 2.6. slides: ps pdf.
Tue, Oct 11. Chapter 2.6. slides: ps pdf.
Thu, Oct 13. Chapter 2.6 slides: ps pdf.
Tue, Oct 18. Review.
Thu, Oct 20. Midterm exam (ps, pdf). Solutions: ps, pdf.
Tue, Oct 25. Chapter 2.7, 2.8. slides: ps pdf.
Thu, Oct 27. Chapter 2.8-2.9, 3.1-3.3. slides: ps pdf.
Tue, Nov 1. Chapter 3.3. slides: ps pdf.
Thu, Nov 3. Chapter 3.3. slides: ps pdf.
Tue, Nov 8. Chapter 3.4, 3.5 slides: ps pdf.
Thu, Nov 10. Chapter 3.5, 3.6 slides: ps pdf.
Tue, Nov 15. Chapter 3.6 slides: ps pdf.
Thu, Nov 17. Chapter 3.6 slides: ps pdf.
Tue, Nov 22. Chapter 3.6, 3.7 slides: ps pdf.
Thu, Nov 24. Thanksgiving holiday.
Tue, Nov 29. Chapters 3.8 (plus 2.13, 3.3). slides: ps pdf.
Thu, Dec 1. Chapters 3.8 (plus 2.13, 3.3). slides: ps pdf.
Tue, Dec 6. Review.
Thu, Dec 8. Review.

Announcements:

Sunday, December 11: A reminder that I will have additional office hours on Tuesday, December 13, 4-5pm, in Soda 527.
Saturday, December 10: The final will be an open-book exam: 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): 2.12, 2.17, 2.18, 2.28, 2.32, 2.33, 2.41, 3.3, 3.4, 3.6, 3.7, 3.9, 3.10, 3.11, 3.12, 3.15, 3.16, 3.23.
Tuesday, December 6: The project is due on Wednesday, December 7, at 11:59pm. You can hand over a hard copy at the section, or email a pdf file to bartlett@stat.berkeley.edu. You can submit it late, but for each day that it is late 20% will be subtracted from the grade (so it is not worth submitting it on or after Monday, December 12).
Thursday, December 1: Two reminders: The project is due on Wednesday, December 7. And the lectures on Tuesday, December 6 and Thursday, December 8 will be review sessions.
Thursday, November 10: The project has been posted. The (optional) proposal is due on Tuesday, November 22. The project is due on Wednesday, December 7.
Thursday, October 13: Each question on the mid-term exam 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.
Thursday, October 6: The mid-term 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.
Wednesday, September 28: Remember that the mid-term exam will be in class (11:00-12:30) on Thursday, October 20. Here are some review questions from Shumway and Stoffer: 1.3, 1.4, 1.5, 1.6, 1.7, 1.8, 1.9, 1.13, 1.15, 1.16, 1.17a, 1.20, 1.21, 1.23, 1.25, 2.2, 2.3, 2.5, 2.6, 2.7, 2.9, 2.13, 2.14, 2.15, 2.26, 2.27.
Tuesday, August 30: Computer lab sections start on Wed, Sep 7. The classroom lab section starts on Fri, Sep 2.
There will be two computer labs, one on Wednesdays, 12-1 in Evans 342 (note the room change) and one in Evans 342 at Wed 2-3 in Evans 342. You should sign up for ONE of these computer labs by emailing your preference to bradluen@stat.berkeley.edu. There will be another (classroom) lab for the whole class on Fridays 12-1 in Evans 330.