Instructor: Likai Chen (likai.chen[at]wustl.edu)
This a temporary schedule and will be updated as the semester goes.
| Week | Topic | Chapters | Homeworks | Handouts |
|---|---|---|---|---|
| Week 1: 08/26, 08/28, 08/30 | Stationary, ACF, CCF | Chapter 1.2-1.5 |
HW1: 1.3, 1.6, 1.7, 1.8, 1.10, 1.13, 1.15, 1.18, 1.19, 1.21, 1.30 Due date: 09/11 by midnight HW1.Solution |
Chapt1.R
Lecture1 Lecture2 |
| Week 2: Labor Day (no class), 09/04, 09/06 | Linear regression, detrend | Chapter 2.1, 2.2 | ||
| Week 3: 09/09, 09/11, 09/13 | detrend, smoothing, AR/MA | Chapter 2.3, 3.1 |
HW2: 2.1, 2.3, 2.6, 2.8, 2.9, 2.10, 3.2, 3.4, 3.5, 3.7 Due date: 09/25 by midnight |
Lecture3
Chapt2.R |
| Week 4: 09/16, 09/18, 09/20 | ARMA, Causal, invertible, PACF | Chapter 3.2-3.3 | Lecture 4 | |
| Week 5: 09/23, 09/25, 09/27 | Forcasting | Chapter 3.4 | phi_nn.pdf | |
| Week 6: 09/30, 10/02, 10/04 | Forcasting, Estimation | Chapter 3.4-3.5 |
3.13.pdf property3.9.pdf 3.16.pdf |
|
| Week 7: Fall break, 10/09, 10/11 | Chapter 3.5 | |||
| Week 8: midterm, 10/16, 10/18 | Chapter 3.6-3.7 | |||
| Week 9: 10/21, 10/23, 10/25 | Chapter 3.8-3.9 | |||
| Week 10: 10/28, 10/30, 11/01 | Chapter 4.1-4.2 |
ARIMA.R Thanks Jose for sharing the slides SeasonalARMA Spectrum |
||
| Week 11: 11/04, 11/06, 11/08 | Chapter 4.2-4.3 |
SpectralDensity Discrete Fourier Transform Linear filter |
||
| Week 12: 11/11, 11/13, 11/15 | Chapter 4.6-4.8 |
EstimationofSpectrum Kernel |
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| Week 13: 11/18, 11/20, 11/22 | State space model | Chapter 6 |
StatespaceIntro KalmanFilter |
|
| Week 14: 11/25, Thanksgiving Break | Chapter 6 | |||
| Week 15: 12/02, 12/04, 12/06 | Chapter 6 | |||
| Week 16: 12/09, 12/11, 12/13 | Chapter 6 | |||
| Final | Final Dec 18 2024 1:00PM - 3:00PM (might change) |