Matematik / Matematisk statistik 

SF2945 Tidsserieanalys ht 2010/ Time Series analysis 2010 - Homework assignments

There are two compulsory homework assignments. These submitted in two reports: Report A and Report B., as defined in the document Homework in Time Series Analysis

  • The deadline for Report A is 19th of November, and contains A.1. - A.2 , as defined in the document Homework in Time Series Analysis
  • Deadline for Report B is 10th of December and contains B.1. - B.2. , as defined in the document Homework in Time Series Analysis
  • The exam as well as BOTH A and B are required to pass the course.

    In the homework assignments you are recommended to use MATLAB. Several useful m-files are found in this page. The data files in the assignments are also found here.


    • A.1 Choose your own time series


    • A.2. Sealevel in Stockholm, ARMA -procesess


    • A.2.1. uses the following files

      The data are found in  sealevel.dat   and in the MATLAB data file sealevel.mat. 

    • A.2.2. uses the following files
      • armaacvf.m (autocovariance function for ARMA process)

      • arroots (gives roots of AR generating function)

      • causal.m (tells if the process is causal)

      • innov.m (innovation algorithm used in predarma)

      • predarma.m (prediction of ARMA process)

      • psi.m (psi coefficients in linear representaton)

      • roots2ar (gives AR parameters from generating function roots)

      • simarma.m ( simulation of ARMA process)

      The acf.m and acvf.m files should also be used. Just click on the links and save the files in an appropriate place. The m-file  plotbar.m can be helpful when drawing autocorrelation function as bars from the x-axis. It is similar to the standard m-file stem which draws bars ending with circles.



    • B.1 analyze your own time series


    • B.2 Statistical Estimation in Time Series, Financial Time Series


    • B.2.1. uses the following files

      • boxcox.m  (graph that shows Box-Cox transformation)

      • boxcoxf.m (function of Box-Cox transformation)

      • pacf.m (Partial autocorrelation function, PACF)

      • pergram.m (periodogram)

      • specarma.m (spectral density ARMA process)

      • specdens.m (spectral density stationary process)

      • yuwaest.m (Yule-Walker estimation, AR-process)

      The data are found in, temp.dat, timech.dat and el.dat or all together in the MATLAB data file data3.mat. The matlab command 'load data3' will load them into a MATLAB session. The m-file read3.m  reads the dat-files into Matlab.

    • B.2.2. uses the following files

      The MATLAB data file is found in logret_DEM_USD.mat . Here is the same data in a text-file, logret_DEM_USD.dat.

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Sidansvarig: Timo Koski
Uppdaterad: 2010-10-16