TMA4285: Time Series Models 2007
- Lectures: Monday 13-15, Tuesday 12-14, Seminarroom, 7th
- Textbook: Introduction to Time Series and Forecasting, by
P.J.Brockwell and R.A.Davis, Springer texts in statistics.
- [Fri Aug 24] First lecture monday 27th Aug.
- [Thu Aug 30] In this week we have started on chapter 2 taking up
a little bit from chapter 1 (which you are supposed to have studied
yourself). We are finished with sections 2.1, 2.2 and 2.3.
- [Thu Aug 30] In the argument for showing that the ARMA(1,1)
models was causal and invertible, I was a bit quick. For the causale
argument: assuming |\phi|<1 we can choose
\psi_i, for i=-1,-2, ... to be 0 and yet obtain a solution (and it
converges). Similarly for the invertible argument.
- [Fri Sep 7] In this week we have discussed 2.4 and started on
2.5. We will start next week on 2.5.2.
- [Thu Sep 20] We are finished with chapter 3 and 5.
- [Thu Sep 20] No lectures next week; use your time to read,
understand and to do computer exercise 1.
- [Thu Sep 20] Monday Oct 1. ***** Lectures will be from
13.00-13.45 or so, due to a PhD-defence. ****
- [Fri Sep 21] For assistance about the first computer exercise in
the period 24 Sep to 28 Sep, please contact Alessandro Ottavi, room
- [Fri Oct 5] We are now finished with Chapter 6.
- [Fri Oct 5] No lectures 8th and the 9th October; use the time to
do computer exercise no 2.
- [Tue Oct 30] No lectures today, or 5th, 6th and 12th November;
use the time to do computer exercise no 3.
Nov 9] Data-exercise 3 seems difficult for many. For this reason, we
cancel the lectures on tuesday 13th Nov to give more time to this
exercise. Also the deadline is postponed until Monday 19th November.
- [Thu Aug 30] Problem sheet 1 is out: this include exercises from
the book in chapter 1 and 2: 1.1, 1.2, 1.3, 1.4, 1.5, 1.15, 2.1, 2.3,
220.127.116.11, 2.10, 2.12, 2.13,
2.14, 2.18, 2.19, 2.20, 2.21, 2.22. Work on them yourself first and
when all are done, you can check that the sketch
of solutions are ok.
- [Thu Sep 30] First computer exercise is out, here is the problem sheet and
here is the data.
- [Fri Oct 5] Second computer exercise is out, here is the problem sheet and here are data1 and data2
- [Fri Oct 5] I an away 8the and the 9th October, but you can
contact me for assistance later that week.
Oct 16] About questions about the exercises and the exam. There will be
three exercises in this course; You have to do all three. For the exam,
no 3 and the best one of no 1 and 2, will count.
- [Mon Oct 29] Third (and the last) problem
sheet is out. Here are data3.
- Ch 1: All subsections, but to be understood as an introduction
- Ch 2: All subsections, except 2.6
- Ch 3: All subsections
- Ch 5: All subsections, except details on the FPE and AICC
criterion. (We use the AIC as R does this.)
- Ch 6: Subsections 6.1, 6.2, 6.3 (except formal testing for a unit
root), 6.4, 6.5.
- Ch 8: Subsections 8.1, 8.2, 8.3, 8.4, 8.5, 8.6.
- Øving 1 eller 2, samt øving 3, må
levers til H.Rue (enten på kontoret i 12etg, posthylla i 7etg,
eller pr email), men STUDENTNR og ikke navn. Øvingen må
levers før mandag 17.des. kl 0900, dvs da den skriftelige
- Som avtalt, er tilatte hjelpemidler til eksamen, kalkulator (som
du ikke trenger), formelsamling i statistikk fra Tapir og
- Jeg har reservert rom 734 S2 fredag 14/12 13-15 for
ønskereprise evnt oppgaveregning/spm før eksamen. Inspill
på (evnt) hva som ønskes gjennomgått sendes til
This page was updated Wed Dec 12 2007