Applied Time Series (STA 4852) 0001
Spring 2012

Lecture: MWF 1:30--2:20pm, MAP 336

Class Webpage: http://pegasus.cc.ucf.edu/~lni/sta4852/home.html

Instructor: Liqiang Ni
Office: Computer Center II 210A
Phone: 407-823-6664, FAX: 407-823-3930
Email:lni@ mail.ucf.edu
Office hours: Monday, Wednesday 11am--12pm and by appointment
http://pegasus.cc.ucf.edu/~lni/

Software

  • Open office suite at http://www.openoffice.org/ is an open-source free alternative to commercial spreadsheet like Microsoft Excel.
  • R is available at http://www.r-project.org/.
  • Task View: Time Series Analysis summaries R packages developed for Time Series Analysis. http://cran.r-project.org/web/views/TimeSeries.html.
  • Prof. Dr. Walter Zucchini has lecture notes on Statistical Analysis with R and Times Series with R.
  • Sample R code for the data analysis in Chapter 3 , Chapter 6, Chapter 9, Chapter 10,, Chapter 11.

    Case Studies

  • Crude Oil Consumption, data
  • Immigrants to USA during 1820--2001, data

    • Textbooks:

  • Forecasting, Time Series, and Regression, Fourth Edition
    Bowerman, O'Connell, Koehler; Brooks/Cole 2005

    Course Description

    PR: STA 4163. Forecasting methods, time series analysis, stationary and nonstationary time series, ARIMA models, forecasting processes.

    Useful Resources

  • Chris Chatfield's book
  • Time Series Data Library
  • Web page for Analysis of Financial Time Series, Ruey S. Tsay, Wiley 2002.
  • Time Series Analysis and Its Applications, Shumway, Robert H. 2000.

    Homework

  • Homework #1: 2.1, 2.12, 2.16, 2.19, Due 01/20/2012 Friday
  • Homework # 2: 3.3, 3.20, 4.4, 4.14 Due 02/01/2012 Wednesday
  • Homework # 3: 6.3, 6.4, 6.5 Due 02/15/2012 Wednesday
  • Homework # 4: 7.2, 7.3 Due 02/22/2012 Wednesday. Excel worksheet
  • Homework # 5: 8.1, 8.6 Due 03/19/2012 Monday.
  • Homework # 6: 9.1,9.2,9.3,9.4 Due 04/04/2012 Wednesday.
  • Homework # 7: 10.1--10.6 Due 04/11/2012 Wednesday.

    Exams

  • Exam One, Exam One, March 2, 2012 Friday. (February 29, Wednesday, review)
  • Exam Two, April 13th, 2012 Friday.
  • Exam Three: a take-home exam. Here are weekly stock price data for Apple Inc, Nokia Corporation, and Research In Motion Limited between Jan 4, 2010 and April 16, 2012 (source: finance.yahoo.com). You may analyze one, two, or all of them. It is expected that these data are related considering these companies are competitors in one of their major business segments. A report with no more than 10 pages should be submitted electronically to lni@mail.ucf.edu before 4pm EDT, Tuesday, April 24, 2012. The report should include brief descriptions of the company(s), their business development during the period, and possible future trend in addition to data analysis. Each student should absolutely work independently.

    Grades

  • To calculate the final score, the homework, Exam one, Exam two, and the Final will be weighted 30%, 20%, 20%, and 30%, respectively. ''I'' grade is only given at extraordinary situations.

  • Necessary But Not Sufficient Conditions:
    • A Score > 90%
    • B Score > 80%
    • C Score > 70%
    • D Score > 60%
    Homework usually will be assigned weekly and should be submitted BEFORE the lecture on the due day. No late homework will be accepted. Discussion about textbook and homework is encouraged. However, never copy somebody else's work. If any dishonesty on homework, quiz, or exams, overall grade for this course will be downgraded at least one level for each occurrence until F .

    Updated on April 20, 2012.