Week 3

Overview #

This week we will finish Module 8, wrapping up the discussion around detrending (TS 2.2) and smoothing (TS 2.3). We will also start Module 9. In particular, we will

• introduce the PACF.

See also detailed learning outcomes 2.1.2, 2.1.4, and 2.1.5 of the CS2 syllabus here.

Main references and lectures #

Module 9 #

Read: Module 9.1--9.3 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) (for Module 8)
2. Chapter 3.1, 3.3, 3.6 of Shumway and Stoffer (2017) (for Module 9)
3. S6 (CS2 Time Series notes) (for Module 9)

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 8.3, 8.4, as well as 9.2 and 9.3 are in scope for the week 3 tutorials.

Next week (week 4) #

Next week, we will discuss the rest of Module 9.

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 #

• Finalise your summary of Module 7.
• Start your summary of Module 8 as you consolidate your understanding with the exercises.

Assignment (25%) #

• Nothing to do for now.

References #