Exercises: Thursday 16h15 - 18h00, room M2193/M5383
Prof. E. Ronchetti, office 5227,
tel. 022 379 8131
Assistant:
L. Turbatu
, office 5252, tel.: 022 379 8239
References:
- Box, G.E.P., Jenkins, G.M. (1976), Time Series Analysis: Forecasting
and Control, 2nd ed., Oakland (CA): Holden-Day.
- Brockwell, P.J., Davis, R.A. (2002), Introduction to Time Series and Forecasting,
2nd ed., New York: Springer.
- Chatfield, C. (2000), Time-Series Forecasting, London: Chapman & Hall.
- Cryer, D.J. (1986), Time Series Analysis, Boston: Duxbury Press.
- Hamilton, J. (1994), Time Series Analysis, Princeton University Press.
- Mills, T.C. (2000), The Econometric Modelling of Financial Time Series,
2nd ed., Cambridge University Press.
- Shumway, R.H., Stoffer, D.S. (2006), Time Series Analysis and Its Applications
(with R Examples) , 2nd ed., New York: Springer.
- Zivot, E., Wang, J. (2003), Modeling Financial Time Series with S-PLUS ,
New York: Springer.
Documents:
- Assign01a - September 19, 2013 -
R_for_Time_Series (pdf)
Data set (italy).
- Assign01b - October 3, 2013 - Text (pdf).
- Assign02 - October 10, 2013 - Text (pdf).
Data set
(beer).
- Assign03 - October 17, 2013 - Text (pdf). Data set
(electricity).
- Assign04 - October 24, 2013 - Text (pdf).
Sim. code (Sim. code).
- Assign05 - October 31, 2013 - Text (pdf).
Data set (UKinterestrates).
- break - November 7, 2013.
- Assign06 - November 14, 2013 - Text (pdf).
Solution_ex2 (pdf)
- Assign07 - November 21, 2013 - Text (pdf). Data set (USunemployement).
- Assign08 - November 28, 2013 - Text (pdf). Data set
(passengers).
- Assign09 - December 12, 2013 - Text (pdf). Data set
(insurance,
insurance_data).
- Assign10 - December 12, 2013 - Text (pdf). Data set
(dvd,
dvd_data).
- Questions session - December 19, 2013.
Exam:
A written exam of 3 hours.
Open book: all documents are allowed.