Syllabus Time Series Examples Objectives of TSA Homework 1a

STA 4853 & 5856—Intro to Time $eries and Forecasting

Arthur Berg

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Outline

1 Syllabus

2 Time Series Examples

3 Objectives of TSA

4 Homework 1a

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Class Info

Instructor: Arthur Berg

always available right after class and during office hours
Email: berg@ufl.edu
Please include “time series" in the subject line.
Office: 408 McCarty Hall C
Office hours are Mondays 5:00–6:00pm and Wednesdays 2:00–3:00pm
Class Info
Section #1083 (STA 4853) #1815 (STA 5856), MWF,
12:50–1:40 pm (period 6), FLO 100
Class Webpage
http://www.stat.ufl.edu/∼berg/sta4853

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Books

Textbook
Time Series Analysis : Univariate and Multivariate Methods, 2nd edition
(2005), by William W.S. Wei.
References
SAS for Forecasting Time Series, Brocklebank and Dickey, 2nd Edition
(2003), SAS Publishing. (SAS Code)
Time Series Analysis and Its Applications: With R Examples, Shumway and
Stoffer, 2nd edition (2006), Springer.
The Analysis of Time Series: An Introduction, Chris Chatfield, 6th edition
(2003), Chapman & Hall / CRC.
Time Series: Theory and Methods, Brockwell and Davis, 2nd edition (1991),
Springer.
Time Series Analysis, James Hamilton, (1994), Princeton University Press.

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Prerequisites and Topics Covered

Prerequisites
STA 4322 or STA 5328 or equivalent. Topics covered in STA 4322
(Mathematical Statistics 2): sampling distributions, central limit theorem,
estimation, properties of point estimators, confidence intervals, hypothesis
testing, common large sample tests, normal theory small sample tests,
uniformly most powerful and likelihood ratio tests, linear models and least
squares, correlation, introduction to analysis of variance.
Topics Covered
We will for the most part follow the organization of the textbook. This
includes the following topics:

• Fundamental Concepts • Intervention Analysis

• SARIMA Models • Unit Root Testing and Cointegration
• Forecasting • ARCH and GARCH Models
• Model Identification • Spectral Domain
• Parameter Estimation • State Space Models and the Kalman Filter
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Grading Policy

Software
Learning a statistical software package is not required for this course,
however will be utilizing the packages R and SAS in the lectures.
Grading Policy
Homework 33.3% A 90%—100% C 70%—75%
Midterm 33.3% B+ 85%—90% D 60%—70%
Final 33.3% B 80%—85% E <60%
C+ 75%—80%

Changes to the Syllabus

I reserve the right to change the syllabus as circumstances necessitate, but
no new policy will be enforceable until after you have been notified in class.

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Outline

1 Syllabus

2 Time Series Examples

3 Objectives of TSA

4 Homework 1a

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Definition
Definition (Time Series)
A time series is a collection of observations made sequentially through time.

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Examples

Agriculture Medical Studies

annual crop production EEG
crop prices EKG
Business/Economics Meteorology
daily stock prices hourly wind speed
weekly interest rates daily temperature
monthly price indexes annual rainfall
quarterly sales Quality Control
yearly earnings
Social Sciences
Engineering annual birth rates
sound mortality rates
electric signals accident rates
voltage crime rates

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Economic and Financial Data

share prices
export totals
average income
company profits

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Physical Data

rainfall
air temperature
seismic activity

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Marketing Data
sales figures
monetary receipts
advertising costs

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Demographic Data

population totals
birth counts

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Outline

1 Syllabus

2 Time Series Examples

3 Objectives of TSA

4 Homework 1a

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Description
trend
seasonal effects
heteroscedasticity
spectral density

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Explanation

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Prediction/Forecasting

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Control

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Outline

1 Syllabus

2 Time Series Examples

3 Objectives of TSA

4 Homework 1a

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Due Date for HW 1

The due date for all of homework 1 is two weeks from Wednesday on Jan
23. Be sure to keep up with the assignments and not wait until the day
before they are due!

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Textbook Reading

Read the following sections from the textbook

Chapter 1: Overview
§2.1–2.5: Stochastic Processes, ACF, PACF, White Noise, Estimators
(skip over §2.3 for the meantime if too technical)

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Install R!

Install the latest version of R (version 2.6.1) on your computer. Then execute the
commands below.
Example Output:
> version
platform i386-pc-mingw32
arch i386
os mingw32
> version system i386, mingw32
> memory.size() status
> memory.limit() major 2
> demo(graphics) minor 5.1
> demo(persp) year 2007
month 06
day 27
svn rev 42083
language R
version.string R version 2.5.1 (2007-06-27)

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Find an Article

Find an interesting article in your field that involves one or multiple time
series, and print the title, abstract and citation of the article.

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Syllabus Time Series Examples Objectives of TSA Homework 1a

Exercises

Do the following exercises.

#2.1 on page 30
#2.3 on page 31

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