MTHSTAT 564

Time Series Analysis

Fall 2005

Classes start Wednesday, September 7, and meet MW, 11:00 am - 12:15 pm, room EMS W119.
Here's the course syllabus in PDF format: syllabus56

Software

The authors of the textbook created (10 years ago) a freeware for time series data analysis, that you can use to do some of the homework problems. All the datasets analyzed in the book are included in the package. Installing this program in your computer is rather cumbersome for today's standards. You have to follow this steps:

Download the executable file zastsa.exe
Run zastsa.exe. This will not install the program on your computer, but will create an installation disk. Ten years ago you were supposed to use a floppy disk for this; if you don't have any, a flash drive will do, but make sure you unzip the installation files on the root directory of your flash drive.
Run install.exe from wherever you unzipped the installation files. This will install ASTSA on your computer.

Homework assignments

Hwk #	Book Sections	Exercises	Due by	Solutions
1	1.2 - 1.6	9, 11, 17, 19, 20	Mon. Sept. 26	hw 1
2	2.1 - 2.3	2, 3, 4, 6	Mon. Oct. 3	hw 2
3	2.4 - 2.5	8, 12, 14	Mon. Oct. 24

Final Exam

Here are the Matlab programs you can use to do the Final: KalmanFil.m , KalmanSm.m , loglik.m , MLE.m , MLE_ST.m
And here's the dataset: capexpri.txt

Last updated: Sun 18 Dec 2005, 00:50