| Date | Lecture topics | Lab topics | Homework |
|---|---|---|---|
| 5 Jan |
Course overview Properties of time series Data transformations Time series decomposition |
Matrices & matrix algebra (review on your own) |
Review of matrix math Optional |
| 7 Jan |
Covariance & correlation Autocorrelation & Partial autocorrelation Cross correlation White noise Random walks Differencing |
Writing models in matrix form (through section 2.5) Basic time series functions Autocorrelation |
linear regression in matrix form Optional |
| 12 Jan |
Autoregressive (AR) models Moving average (MA) models Stationary AR models Invertible MA models Using ACF & PACF for model ID |
|
|
| 14 Jan |
Box-Jenkins method Fitting ARIMA models with R Forecasting with ARIMA models Seasonal ARIMA models |
Simulating ARMA models Fitting ARIMA models Forecasting with ARIMA models Box-Jenkins Methods |
ARIMA models Due next Thurs 11:59 PM PST; email to instructor(s) for lab |
| 19 Jan |
Univariate state-space models |
|
|
| 21 Jan |
Introduction to multivariate state-space models |
Fitting univariate and mulitvariate state-space models |
State-space models Due Sat Jan 30 11:59 PM PST; email to Eli |
| 26 Jan |
MARSSX and ARMAX models Seasonal effects Missing covariates |
|
|
| 28 Jan |
Regression with autocorrelated errors Dynamic factor analysis (DFA) |
Fitting DFA models |
Dynamic Factor Analysis Due next Thurs 11:59 PM PST; email to Mark |
| 2 Feb |
Dynamic linear models (DLMs) |
|
|
| 4 Feb |
Hidden Markov models |
Fitting DLMs |
Dynamic Linear Models Due next Thurs 11:59 PM PST; email to instructor(s) for lab |
| 9 Feb |
Bayesian estimation of time-series and state-space models Stan |
|
|
| 11 Feb |
MAP estimation Multivariate models DFA Writing Bayesian models in Stan |
Bayesian estimation STAN |
Due next Thurs 11:59 PM PST; email to all instructors |
| 16 Feb |
Multi-model inference and selection Information criteria Cross-validation & LOOIC |
|
|
| 18 Feb |
AR(p) Models Estimating interaction strengths Gompertz models Stability metrics |
Interactions Stability B matrix |
Due Monday Mar 1 11:59 PM PST; email to Eric & Eli |
| 23 Feb |
Semi- and non-parametric models |
|
|
| 25 Feb |
Frequency domain Fourier transforms Spectral analysis Wavelet analysis |
Fitting EDM models |
|
| 2 Mar |
Spatial and spatio-temporal models |
|
|
| 4 Mar |
Spatial and spatio-temporal models |
Spatio-temporal models |
work on projects |
| 9 Mar |
Student presentations |
|
|
| 11 Mar |
Student presentations |
Student presentations |
No homework work on projects |