STAT 131

Time Series & Prediction

Section 1: Introduction to R.

Section 2: Review of Expectation, Variance and Covariance.

Section 3: Time Series Data Analysis.

Section 4: ARMA(p,q) Process.

Section 5: Mid-Term Review.

Section 6: Multivariate Normal Distribution.

Section 7: Multivariate Time Series.

Section 8: Examples of State Space Models.

Section 9: Estimation for State Space Models.

Section 10: MCMC and EM.

Section 11: Final Review.

Note: The notes are prepared with Sanqian Zhang.

Section 2: Two-year ahead forecasts and prediction intervals.

Section 3: Autocovariances and partial autocovariances of AR and MA models.

Section 7: Time series plots of US Constant Maturity Treasury with different maturities.

Section 9: Forecasting, filtering and smoothing.