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Week 10 Study Plan

Week 10

Overview

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

  • introduce the PACF;
  • study in detail AR(p) models;
  • study in detail MA(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

Module 9

Read: Module 9.1--9.3

Annotate: slides

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 ()
  2. S6 (CS2 Time Series notes)

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 1-3 of Module 9 are in scope for the tutorials this week.

Next week (week 11)

Next week, we will discuss Sections 4-8 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

Mid-semester exam is done! r emo::ji("smile")

For the final exam:

  • Finalise your summary of Module 8.
  • Start your summary for Module 9.

Assignment (25%)

  • The assignment is due this week! (Monday 8 May 11.01am sharp)
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References

Shumway, Robert H., and David S. Stoffer. 2017. Time Series Analysis and Its Applications: With r Examples. Springer.