Time Series HT 2010

Disclaimer: Below are the lecture notes. There may be misprints in the slides; corrections may only be provided during lectures. If you discover any 

misprints at all, please let me know, so that the slides can be updated. Please check the slides regularly for updates. 

        Lectures will take place Mondays 11-12, Weeks 1-4, Wednesday 11-12 in Week 1, and Thursdays 10-11 in Weeks 1, 2, and 4, in the Department of Statistics. There will be two  Practical classes, Friday of Week 2 and Friday of Week 4, and two Examples class, Tuesday 10-11 in Weeks 3 and 5. Your marker for the problem sheets is Yang Wu; solutions are due Fridays in Weeks 2 and 4 at 5 pm.

Here is a link to the  Lecture notes.

Here is a link to Problem Sheet 1.

Here are solution sketches to Problem Sheet 1

Here is a link to Problem Sheet 2.

Here are solution sketches to Problem Sheet 2.

Here is the R code for Lecture 1

Here is the R code for Lecture 2

Here is the R code for Lecture 4
Here is the R code for Lecture 5
Here is the R code for Lecture 6
Here is the R code for Lecture 7
Here is the R code for Lecture 8
Here is the R code for the Kalman filter example; for credit see also Thomas Bengtsson's handout.

Here is the text for the Week 2 Practical.
Here is some  R code by Paulina Preciado to illustrate how the running mean works

Here is the preliminary text for the Week 4 practical
Here are the Johnson & Johnson data for the Week 4 practical

Here is the R code for Lecture 4

Here is a link to Stoffer's compilation of some issues with time series analysis in R, R Time Series Issues.

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Gesine Reinert (reinert@stats.ox.ac.uk)