Lectures STK4060-sp14

Below you will find a description of the material that will be covered next week, and also a description of the material that has been covered earlier.

Week 3 (1/13- 1/17): Chapter 1, sections 1.1-1.5 and beginning of section 1.6 in Shumway and Stoffer( S&S). R-code.

Week 4 (1/20-1/24): Finish section 1.6 in S&S, and beginning of 1.7, until paragraph starting with "In many applied problems, an observed ...". Then chapter 2, sections 2.1-2.3 except the two last examples  in 2.3 on use of periodogram, which will be covered later. Then section 2.3,  section 2.4 will be covered later. R-code

Week 5 (1/27-1/31): Chapter 3, section 3.1 and beginning of section 3.2.

Week 6 (2/3-2/7): Finished  section 3.2 and started on section 3.3.

Week 7 (2/10-2/14): Rest of section 3.3 then section 3.4.

Week 8 (2/17-2/21): Section 3.5 on forecasting until forecastiong ARMA processes

Week 9 (2/24-2/28): Rest of section 3.5 on forecastiong ARMA processes, then section 3.6 on estimation. R-code

Week 10 (3/3-3/7): Rest of section 3.6 on estimation. R-code, the sections 3.7 and finished section 3.8.

Week 11 (3/10-3/14): Finished  section 3.9, then started on chapter 6 on state-space models: sections 6.1 and in 6.2 up to and including the Kalman Filter.

Week 12 (3/17-3/21):  Finished section 6.2, except for proofs of Property 6.2 (Kalman Smoother) and Property 6.3 (Lag-One Covriance Smoother), where only knowledge of the algorithms will be necessary. R-code.

Week 13 (3/24-3/28): Finished Section 6.3 on maximum-likelihood estimation, except the material on EM-algorithm on page 340-342, and section 6.5 on Structural models. Began on section 6.6 on correlated errors. R-code

Week 14 (3/31-4/4):  Finished section 6.6 on correlated errors ( until 6.6.2 on Multivariate Regression). Thereafter Chapter 4 on Spectral Analysis, sections 4.1-4.3.

Week 15 (4/7-4/11):   Section 4.4  on periodogram and discrete Fourier transform. and beginning of section 4.5 nonparametric spectral estimation. R-code.

Week 16 (4/14-4/18):   Easter break: no class.

Week 17 (4/21-4/25):   No class

Week 18 (4/28-5/2):  Beginning of section 4.5 on nonparametric  spectral estimation.

Week 19 (5/5-5/9):  Finished section 4.5 on nonparametric and section 4.6 on parametric  spectral estimation. R-code.This was the last lecture of STK4060/STK9060-sp14.

 

Publisert 6. jan. 2014 13:30 - Sist endret 5. mai 2014 12:48