Time Series Analysis and Forecasting

Time Series Analysis and Forecasting

Spring 2011

 

Syllabus

 

Text book:

Jonathan D. Cryer and Kung-Sik Chan (2008). Time Series Analysis With Applications in R, Second Edition, Springer.

 

Data Sets

Scripts

Errata

 

Reference:

  1. Box, G.E.P., Jenkins, G.M. and Reinsel, G.C. (1994). Time Series Analysis: Forecasting and Control, 3rd Edition, Prentice Hall, New Jersey.
  2. Brockwell, P.J. and Davis, R.A. (1996), Introduction to Time Series and Forecasting. Springer-Verlag, New York.
  3. Brockwell P. J., and Davis R. A. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991.
  4. Chatfield, C. (2003). The Analysis of Time Series: An Introduction, 6th edition, Chapman and Hall, New York.
  5. Hamilton J. D. (1994).  Time Series Analysis. Princeton University Press, Princeton.
  6. Pole, A.,West, M. and Harrison, P. J. (1994); Applied Bayesian Forecasting and Time Series Analysis. Chapman and Hall.

Practice Problems:

Chapter 1:    Problems and Solutions

Chapter 2:    Problems and Solutions

Chapter 4:    Problems and Solutions

Chapter 5:    Problems and Solutions

Chapter 6:    Problems and Solutions

Chapter 7:    Problems and Solutions

Chapter 8:    Problems and Solutions

Chapter 9:    Problems and Solutions

 

Previous Exams:

Midterm Spring 2010

Final        Spring 2010

 

Projects:

Midterm Project

Data sets for Project #1:

Group1     Group2     Group3    

Group4     Group5     Group6    

 

Final Project

Group 1

Group 2

R-CodeNew

New LibrariesNew

Forecast    Fracdiff

 

 

Current Version of R: 2.12.1 (December, 16, 2010)

Download R 2.12.1 for Windows (37 megabytes, 32/64 bit)

An Introduction to R is based on the former “Notes on R”, gives an introduction to the language and how to use R for doing statistical analysis and graphics. [browse HTML | download PDF ]

Library:

All the datasets and the new or enhanced R functions used in the text book are collected into a package called TSA that can be downloaded and installed in R. This can be done by clicking the Packages menu and then selecting Set CRAN mirror. Again select a mirror site that is closest to you geographically, and a window containing the names of all available packages will pop up. In addition to our TSA package, you will need to install packages named leaps, locfit, MASS, mgcv, tseries, and uroot.

Download  TSA package and others