| Date | Instructor | Topics | Lab | Data | Video | YouTube | Homework | Key |
|---|---|---|---|---|---|---|---|---|
| 8 January |
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Matrices & matrix algebra (review on your own) |
PDF 1 |
YouTube |
Listed at end of lab |
Key | ||
| 10 January |
Eli/Mark |
Writing models in matrix form (through section 2.5) Basic time series functions Autocorrelation |
html 1 html 2 |
Linear Reg: Prob 1, 2, 3, 4a, 4b, 5a, 6a, 7 |
Key | |||
| 15 January |
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| 17 January |
Mark & Eli |
Simulating ARMA models Fitting ARIMA models Forecasting with ARIMA models Box-Jenkins Methods |
Rmd 1 Rmd 2 html 1 html 2 |
Intro to ts: problems at end of lab Fitting ARMA models: problems at end of lab; Due 5pm Tues 1/22 |
Key 1 Key 2 | |||
| 22 January |
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| 24 January |
Eli |
Fitting univariate and mulitvariate state-space models |
Rmd 1 Rmd 2 html 1 html 2 |
Chap 5 Univariate SS: Problems 6 and 7; Chap 6 Multivariate SS: Problems 1,2,3,4,6 (skip 5); you can do Chap 5 problems just using Chap 6 information; Due Thurs 1/31 midnight. |
Key 1 Key 2 | |||
| 29 January |
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| 31 January |
Mark |
Fitting DFA models |
Rmd 1 html 1 |
Problems at end of lab Due Thurs 2/7 midnight. |
Key | |||
| 5 February |
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| 7 February |
Mark |
Fitting DLMs |
Rmd 1 html 1 |
Problems end of lab; due midnight next Thurs 2/14 |
Key | |||
| 12 February |
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| 14 February |
Eric |
Bayesian estimation STAN |
html 1 |
No homework |
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| 19 February |
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| 21 February |
Eli |
Forecasting with ETS models, Model comparison, Covariates in MARSS models |
PDF 1 html 1 html 2 |
Problems 1-5 in the Covariates Chapter (html 1) |
Key | |||
| 26 February |
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| 28 February |
Mark |
Frequency domain methods wavelet analysis Stochastic volatility |
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No homework |
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| 5 March |
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| 7 March |
Eric |
Perturbation detection |
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No homework |
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| 12 March |
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| 14 March |
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Student presentations |
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No homework |