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: 08/29 , 08/31, 09/02 | Stationary, ACF, CCF | Chapter 1.2-1.5 | Chapt1.R | |
Week 2: Labor Day, 09/07, 09/09 | Linear regression, detrend | Chapter 2.1, 2.2 | ||
Week 3: 09/12, 09/14, 09/16 | detrend, smoothing, AR/MA | Chapter 2.3, 3.1 | Chapt2.R | |
Week 4: 09/19, 09/21, 09/23 | ARMA, Causal, invertible, PACF | Chapter 3.2-3.3 | ||
Week 5: 09/26, 09/28, 09/30 | Forcasting | Chapter 3.4 | phi_nn.pdf | |
Week 6: 10/03, 10/05, 10/07 | Forcasting, Estimation | Chapter 3.4-3.5 |
3.13.pdf property3.9.pdf 3.16.pdf |
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Week 7: Fall break, 10/12, 10/14 | Chapter 3.5 | |||
Week 8: 10/17, midterm, 10/21 | Chapter 3.6-3.7 | |||
Week 9: 10/24, 10/26, 10/28 | Chapter 3.8-3.9 | |||
Week 10: 10/31,11/02, 11/04 | Chapter 4.1-4.2 |
ARIMA.R Thanks Jose for sharing the slides SeasonalARMA Spectrum |
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Week 11: 11/07, 11/09, 11/11 | Chapter 4.2-4.3 |
SpectralDensity Discrete Fourier Transform Linear filter |
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Week 12: 11/14, 11/16, 11/18 | Chapter 4.6-4.8 |
EstimationofSpectrum Kernel |
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Week 13: 11/21, Thanksgiving Break | State space model | Chapter 6 |
StatespaceIntro KalmanFilter |
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Week 14: 11/28, 11/30, 12/02 | Chapter 6 | |||
Week 15: 12/05,12/07, 12/09 | Chapter 6 | |||
Final | Final Dec 19 2022 10:30PM - 12:30PM |