Lecture: TTh 4:00-5:15, LA5 153

Office: FO3 206

Office Hour: TTh 2:30-4:00 or by appointment

Syllabus

Class Notes:

Chapter 1: Introduction

Chapter 2: Spectral Analysis

Chapter 3: Univariate Time Series Models

Chapter 4: Multivariate Time Series Models

Reference paper: ozone_forecast

Example:

1. State-Space Modeling using ASTSA

2. Transfer Function Modeling using SAS (fish.xls)

Data: 

London.txt

Windows Time Series Package (ASTSA)

ASTSA User Manual

* Follow the instruction to download and install the package

1: Click here to download the file, ZASTSA.EXE (a self-extracting zip file), and save to your desktop.

2: Put an EMPTY formatted disk into your floppy drive (say, drive A). 

3: Double click on the ZASTSA icon on your desktop and extract to drive A.

4: Double click on the Install icon on the floppy disk. Delete ZASTSA.EXE from the desktop and keep your floppy disk.