TMA4285  2008

Time Series Models


Lectures: Tuesday 08:15-10:00 F6, Wednesday 10:15-12:00 Room 656 in Sentralbygg 2.

Exercises: Wednesday 16:15-17:00

Textbook: Brockwell and Davis: Introduction to Time Series and Forecasting, 2.Ed., Springer 2002.




Messages

  • [7/1-09] The solution sketch to the exam problems are now available, see below. Note that the solution to Problem 1a) is caused by a misprint in the exam problem. You did not loose any points if you had the 'wrong' solution.
  • [5/1-09] The exam results have been posted. I wish you all a happy and successful new year!
  • [10/12] If anyone should be in doubt, you are allowed to bring a yellow, stamped A5 sheet of paper with your own handwritten notes to the exam. You may get this at the 7th floor of sentralbygg 2 (dept. office). Good luck tomorrow!
  • [9/12] The exam problems for 2007 are also posted.
  • [27/11] Note that the link Exercises 2++ contains solutions to several exercises. More exam problems have now been posted.
  • [18/11] The exam problems for December 2005 are now posted in English. Will be discussed in the lectures tomorrow.
  • [17/11] The results of the obligatory computer exercise have been posted (below).
  • [14/11] The exam problems from December 2005 (see below) will be discussed on Tuesday, Nov. 18.
  • [10/11] Exercise 7 is posted.
  • [14/10] Marit will be available for help with the exercises on Wednesday 15/10 and 22/10: 16:15-17 and Friday 17/10 and 24/10: 14:15-15. Place: Nullrommet. Marit's email: marit.ulvmoen@math.ntnu.no.
  • [10/10] Marit has written up the mandatory data exercise, and it has now been posted. You are supposed to work on this exercise primarily next week, so there will be no lectures during that week. The deadline for submitting your work (to Marit) is Monday, October 27. The exercise will be graded, and it counts 20% towards the final grade. If you have questions, please ask Marit. Good luck with your work!
  • [7/10] Exercise 5 is posted.
  • [2/10] Exercise 4 is posted.
  • [1/10] Solution sketches to Exercise 3 are posted.
  • [22/9] For help with the exercises on Wednesday 24/9, 16:15-17:00, please contact Marit Ulvmoen, who is sitting in room 1024, Sentralbygg 2.
  • [19/9]  Exercise 3 is posted.
  • [3/9]  The lecture on Tuesday, Sept 9, will start at 08:45. It will discuss Section 2.4 in the book. The lecture on Wednesday, Sept. 10, will be dedicated to computer exercises. Please come to '0-rommet' , which is a computer lab located in the building to the north of Sentralbygg 2 (Nordre lavblokk). You will learn to use the R-language for statistical computations. More exercises have also been posted.
  • [27/8] The first set of voluntary exercises have been posted. The exercise help, which is on Wednesday 16:15-17:00, is cancelled this week.
  • [25/8] Note that you are expected to read Chapter 1 by yourself, preferrably before the lectures start tomorrow.
  • [25/8] It has turned out to be difficult to find an appropriate lecture room for Wednesday 10:15-12, but we shall try using room 656 in Sentralbygg 2. This applies to the lecture on Wednesday, Aug. 27.
  • [20/8] First lecture on Thursday 21/8, 12:15 in F4. Due to overlap with other courses (with more students)we have to change the time for the Thursday lectures.

         
Exercises
  • Exercise 7: Problems from Chapter 8: 7, 9, 13, 14, 15.
  • Exercise 6: You find it here.
  • Exercise 5: Problems from Chapter 5: 1, 3, 4, 11.
  • Exercise 4: Problems from Chapter 3: 1, 4, 6, 7, 11.
  • Exercise 3: Problems from Chapter 2: 15, 18, 19, 20, 21, 22.
  • Exercise 2: Problems from Chapter 2: 1, 4, 8, 11.
  • Exercise 1: Problems from Chapter 1: 1, 2, 3, 4, 5, 15.
Work on the exercises on your own before you check the solution sketches: Exercise1 , Exercise2++,
Exercise3 .


Obligatory exercise results: (20 points max)

673680 - 19.5
676421 - 19.5
676453 - 14
676465 - 6.5
676707 - 19.5
683979 - 18
684006 - 19.6
684023 - 19.6
684074 - 11.4
704123 - 13
704326 - 17.2
704473 - 16
709214 - 19.4
709740 - 16


Exam results

676421 - B
676453 - D
676465 - D
676707 - B
683979 - D
684006 - C
684023 - B
684074 - D
704123 - C
704326 - C
704473 - E
709214 - B
709740 - D

(The exam problems with solution sketch will be available very soon.)

Exam problems
Curriculum (from Brockwell and Davis)
  • Chapter 1-3: All

  • Chapter 4: Out

  • Chapter 5-6: All, except 6.6.

  • Chapter 7: Out

  • Chapter 8: All, except 8.7 and 8.8

  • Chapter 9: Out

  • Chapter 10: 10.3


Lecturer:
Arvid Næss
Professor of Mathematical Statistics

 Department of Mathematical Sciences
 Norwegian University of Science and Technology
 NO-7491 Trondheim,  Norway

 Phone (work)............:  +47-7359-7053
 Fax     (work)............:  +47-7359-3524
 Phone (mob)...........:  +47-995 38 350
 Email.......................:  arvidn@math.ntnu.no
 Office.......................:  Sentralbygg 2, 11th floor, room 1144,
                                      Gløshaugen                                 









WO