Week 2

Overview #

This week we will finish Module 7, wrapping up the discussion around stationary time series, and how this allows us to estimate mean and autocovariance from a realisation. We will also cover Module 8. In particular,

• We will revisit regression from the time series context (TS 2.1)
• We will see how to explore data, and try to “detrend” a time series (TS 2.2)
• We will discuss how to use smoothing techniques to gather some more information about the “shape” of the time series, such as cycles (TS 2.3)

See also detailed learning outcomes 2.2.1-2.1.2 and 2.2.1 of the CS2 syllabus here.

Main references and lectures #

Module 7 #

Read: Module 7 SLIDES

annotated slides (UG) | annotated slides (PG)

Watch: refer to your lecture recording under “Lecture Capture” ( UG/ PG). This is where annotated slides will be made available, too.

Module 8 #

Read: Module 8 SLIDES

annotated slides (UG) | annotated slides (PG)

Watch: refer to your lecture recording under “Lecture Capture” ( UG/ PG). This is where annotated slides will be made available, too.

Additional preparation and resources #

Mandatory #

1. Chapter 2.1-2.3 of Shumway and Stoffer (2017)

Optional #

1. n/a

Tutorials #

Note that a full list of exercises is available here. Please let us know of any mistake or required update on Ed.

Pre-Tutorial work #

Please study those questions before the tutorial.

Pre-Tutorial exercises are available in the Pre-Tutorial book, which already includes solutions. It is recommended to attempt the questions before looking at the solutions

Tutorial materials #

Some questions have been especially selected for the tutorials. Students should review and attempt those questions prior to their scheduled tutorial, after they complete the pre-tutorial work.

The Tutorial book includes all questions for the whole semester already, but solutions will only be added sequentially at the end of each week, as we work our way through the set.

Note that solutions will be gradually added to that same document. Hence it is not recommended to print it, as it will regularly change (typos will also dynamically be corrected).

This week #

Sections 7.5, 7.6, and Module 8 are in scope for the week 2 tutorials.

Next week (week 3) #

Next week, we will discuss Module 9, Sections 9.1-9.3.

Additional questions #

The “additional questions” are here for reinforcement or revision, but are not the main focus of the tutorials. Solutions for those exercises are already available.

Preparation for assessment #

Mid-semester (15%) and final (60%) exams #

• Start your summary of Module 7.

Assignment (25%) #

• Nothing to do for now.

References #