Week 4

Overview #

This week , we will continue with the Time Series component of the subject, which corresponds to the Section 2 of the CS2 syllabus; In particular, we will

• study in detail $AR(p)$ models;
• study in detail $MA(q)$ models;
• study in detail $ARMA(p,q)$ models;
• study in detail $ARIMA(p,d,q)$ models.

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

Main references and lectures #

Read: Module 9.2--9.5 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 3.1, 3.3, 3.6 of Shumway and Stoffer (2017) (for Module 9)
2. 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 #

This week, we will discuss the beginning of Module 9 (to be confirmed after the lecture).

Next week (week 5) #

Next week, we will discuss the end of Module 9 (to be confirmed after the lecture), and possibly some of Module 10.

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 and 8 as you consolidate your understanding with the exercises.
• Start your summary of Module 9

Make sure you start preparing for the mid-semester exam

Assignment (25%) #

• Nothing to do for now. However, the assignment description should come out this week.
• You should review the 2023 assignment, questions, exemplars and rubric. That will give you an idea of what is expected.

References #