STAT 3830: Time Series and Forecasting

Spring Semester, 2014,  Mon. 12:30-14:20  WLB206, Fri. 9:30-10:20 AAB504


http://www.math.hkbu.edu.hk/~hpeng/stat3830.html

Instructor: PENG, Heng, Assistant Professor. Office: FSC1205.  Phone: 3411-7021.

E-mail: hpeng@math.hkbu.edu.hk

Teaching Assistant: Zhao, Jingxin, E-mail: 13479547@life.hkbu.edu.hk


Office Hours:  Mon. 9:30-12:20 and Thu. 14:30-17:20 or by appointments.

Syllabus and Others: click here

Lecture notes 1

Lecture notes 2

Lecture notes 3

Lecture notes 4

Cases Study

Datasets and Programs

Chapter 1

Datasets

Sunspot data

Canadian lynx data

Interest rate data

    Three-month Treasury bill

    Six-month Treasury bill

    Twelve-month Treasury bill

The Standard and Poor's 500 Index

An environment data set

Signal processing-deceleration during car crashes

Program

Plot figures for datasets of Example 1.1-1.4

Simulating AR(2) Model

Compute AR(2) Model predicted error

Simulating ARIMA(1,1,1) Model

Chapter 2

Datasets

Running Performance  

Program

Running Performance Analysis

Chapter 3

Example 3.1 Annual U.S. Production: Dataset, Main Program, Function: 1

Example 3.2 Quarterly Iowa Nonfarm Income: Dataset, Main Program, Functions: 1 2

Example 3.3 Weekly Thermostat Sales: Dataset, Main Program, Functions 1 2

Example 3.4 Car Sales: Dataset, Main Program, Functions: 1 2

Example 3.5 New Plant and Equipment Expenditures: Dataset, Main Program, Functions: 1 2 3

 

Chapter 4

Example 4.1 Yield Data: Dataset, Main Program, Function: 1

Cases Study

Datasets

Weekly egg prices at a German agricultural market  between April 1967 and May 1990

GE daily returns for GE common stock  from December 1999 to December 2000.

Quarterly earning per share of Johnson and Johnson from 1960 to 1980.

The monthly simple returns of the CRSP Decile 1 index from January 1960 to December 2003 for 528 observations.

The 1-year and 3-year U.S. treasury constant maturity rates.

Assignments

Assignement 1 Suggested Solution

Assignement 2 Suggested Solution

Assignement 3 Suggested Solution

Projects

1. Individual project, Due Date: April 14.

Gas Mileage Data

Iowa student Data

2. Group project  Due date: May 15.