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 mfiles 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 mfile plotbar.m can be helpful when drawing
autocorrelation function as bars from the xaxis. It is similar to the
standard mfile 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 BoxCox transformation)

boxcoxf.m (function of BoxCox
transformation)

pacf.m (Partial autocorrelation function, PACF)

pergram.m (periodogram)

specarma.m
(spectral
density ARMA process)

specdens.m
(spectral
density stationary process)

yuwaest.m (YuleWalker estimation,
ARprocess)
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 mfile read3.m reads the datfiles 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 textfile, logret_DEM_USD.dat.
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