| Week |
Date |
Topic |
Slides |
Notes with R Code |
Homework Assignments/Labs |
Exam/Project |
| 1 |
Aug. 21 |
Course Overview and Review of Statistical Concepts |
Course information; Slides 1 |
R Session 1 |
|
|
| 2 |
Aug. 26 and Aug. 28 |
Modeling Trend and Seasonality with Regression Techniques |
Slides 2 |
R Session 2 |
HW 1 Due: Aug. 28 |
|
| 3 |
Sep. 2 and Sep. 4 |
Stationary Processes: Properties, Mean, and Covariance Functions |
Slides 3 |
R Session 3 |
HW 2 Due: Sep. 4 |
|
| 4 |
Sep. 9 and Sep. 11 |
Estimating Mean and Covariance of Stationary Processes |
Slides 4 |
R Session 4 |
HW 3 Due: Sep. 11 |
|
| 5 |
Sep. 16 and Sep. 18 |
ARMA Models: Properties, Model Selection, and Diagnostics |
Slides 5 |
R Session 5 |
HW 4 Due: Sep. 18 |
|
| 6 |
Sep. 23 and Sep. 25 |
ARMA Models: Prediction, Estimation, and Inference |
Slides 6 |
R Session 6 |
|
Exam I: Sep. 25 |
| 7 |
Sep. 30 and Oct. 2 |
ARMA Case Study and ARIMA Models |
Slides 7 |
R Session 7 |
HW 5 Due: Oct. 2 |
|
| 8 |
Oct. 7 and Oct. 9 |
Seasonal Models: SARIMA |
Slides 8 |
R Session 8 |
|
|
| 9 |
Oct. 16 |
Regression with Time Series Errors and Related Topics |
Slides 9 |
R Session 9 |
HW 5 Due: Oct. 19 |
|
| 10 |
Oct. 21 and Oct. 23 |
GARCH Models and Their Applications in Financial Time Series |
Slides 10 |
R Session 10 |
|
|
| 11 |
Oct. 28 and Oct. 30 |
Frequency-Domain Analysis of Time Series |
Slides 11 |
R Session 11 |
|
Exam II: Oct. 30 |
| 12 |
Nov. 4 and Nov. 6 |
Estimation in the Frequency Domain |
Slides 12 |
R Session 12 |
HW 6 Due: Nov. 9 |
|
| 13 |
Nov. 11 and Nov. 13 |
Introduction to State-Space Models |
Slides 13 |
R Session 13 |
|
Final Project Proposal Due: Nov. 13 |
| 14 |
Nov. 18 and Nov. 20 |
State-Space Models and Multivariate Time Series Models |
Slides 14 |
R Session 14 |
HW 7 Due: Nov. 21 |
|
| 15 |
Nov. 25 |
Multivariate Time Series Models and Spatial-Temporal Models |
Slides 15 |
R Session 15 |
|
|
| 16 |
Dec. 2 and Dec. 4 |
Review and Further topics |
Slides 16 |
|
|
Final Project Presentation Dec. 5 5:30pm - 7:30pm |
| 17 |
Dec. 8-12 |
Final Project |
|
|
|
Final Project Due |