STAT 758 Advanced Time Series Analysis

Instructor:	Dr. Kristine Bell		Office:	S&T II, Rm. 145
email:	kbell@gmu.edu		Phone:	(703)-993-1707

Spring 2007 Course Information

Description: Time series analysis is used for diverse applications in economics, the social sciences, the physical and environmental sciences, medicine, and signal processing. This course is a continuation of STAT 658/ CSI 678 and presents advanced principles of time series analysis including mathematical modeling and methods for model identification and forecasting of nonstationary and seasonal time series data (ARIMA models), multivariate time series, and state-space models.  An integral part of the course is the use of MATLAB for simulation, calculation, and implementation of time series analysis techniques.

Prerequisite: STAT 658 and STAT 652 (STAT 652 may be taken as a co-requisite).

Text: P. J. Brockwell and R. A. Davis, Introduction to Time Series and Forecasting, 2nd. ed, Springer-Verlag, 2002. ISBN 0-387-95351-5.  Spring 2009: R. H. Shumway and D. S. Stoffer, Time Series Analysis and Its Applications, 2nd. ed, Springer-Verlag, 2006. ISBN 978-0387293172.

MATLAB: An integral part of the course is the use of MATLAB for simulation, calculation, and implementation of time series analysis techniques.  You can buy the student edition at a discounted price (about $100) at the computer store, or you can use the computers in the IT&E lab (S&T II, Rm. 137).  Spring 2009: we will be using R as in STAT 658.

WebCT: Course materials, announcements, etc. will be disseminated through WebCT.  Spring 2009: WebCT is now Blackboard..

Schedule: This schedule is approximate and subject to change at any time by announcement in class.  Any changes will also be posted on WebCT.

Grading: Grades are based on total points earned from four components: Quizzes, Midterm Exam, Final Exam, and Projects. Spring 2009: Projects are now called Assignments, Final Exam will be replaced by a Class Project.