Matematik / Matematisk statistik 


Course Log SF2943 (former SF2945) Time Series , Spring 2013. Information on Lectures and Handouts
  • The Exam takes place on Wednesday 22nd of May 14.00-19.00 The registration for the exam via mina sidor is open from 2013-04-15 to 2013-05-05 .



    • Extra excercise class Tuesday 21st of May 14-16 hrs in E36 T. Gudmundsson

    • Lecture 18 15.05.2013 Kalman Filtering lecture


    • Lecture 15 06.05.2013 (Not an Exercise session ! )

    • Lecture 14 03.05.2013. ARIMA(p,d,q), Nelson-Beveridge decomposition

    • Thursday 02.05.2013. Exercises Lecture Hall is Q34

    • Lecture 13, 30.04.2013. Innovations algorithm and factorization of covariance (Toeplitz) matrices (see pdf), Hannan -Rissanen algorithm BD 5.2, order selection 5.3-5.5 pdf

    • Lecture 12, 24.04.2013. Yule Waler estimation an AR(p)-process, 5.1.1, Innovations algorithm and likelihood, yuwaest.m, From Matlab system identification toolbox: arx.m armax.m pdf

    • Lecture 11, 23.04.2013. Periodogram (examples), Linear difference equations for ACVF, LTI pdf

    • Lecture 10, 18.04.2013. Periodogram BD 4.2

    • Lecture 9, 17.04.2013. Spectral density BD 4.1

    • Lecture 8, 11.04.2013. Innovations algorithm, One-step prediciton of ARMA(p,q) BD 2.5.2. 3.3.

    • Lecture 7, 10.04.2013. Arma(p,q) -process, ACVF , BD 3.1 3.2.

    • Lecture 6, 09.04.2013. Arma(p,q) -process, causality, invertibility, BD 3.1.

    • Lecture 5, 28.03.2013. Prediction and projection pdf .

    • Lecture 4, 27.03.2013. Estimation of mean, prediction and projections sections 2.4 in BD .

    • Lecture 3, 21.03.2013. definition and conditions for convergence in mean square (see the handout below), system polynomials, Cauchy product formula, AR(1) as linear process, ARMA(1,1) as a linear process, sections 2.2 2.3 in BD .

    • MULTIVARIATE GAUSSIAN DISTRIBUTION. pdf

    • CONVERGENCE IN MEAN SQUARE AND CAUSAL LINEAR PROCESSES. pdf

    • Lecture 2, 20.03.2013. section 1.5.2: more on ACVF, stationary processes AR(1), MA(1), time series decomposition, trend, seasonal component, difference operator, shift operator. section 2.1 .

    • Lecture 1, 26.10.2009. section 1.3, section 1.4: What are time series ? stationary models, autocovariance function (acvf) and its properties

    Last change 2013-03- 21
[Kurshemsidan]     [Kursförteckning]     [Avdelningen Matematisk statistik]
Sidansvarig: Timo Koski
Uppdaterad: 2013-03-21