Simon Fraser University
Engaging the World

Course Outlines

Fall 2021 - STAT 685 G100

Applied Time Series Analysis (3)

Class Number: 5096

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 8 – Dec 7, 2021: Mon, 5:30–6:20 p.m.
    Burnaby

    Sep 8 – Dec 7, 2021: Thu, 4:30–6:20 p.m.
    Burnaby

  • Exam Times + Location:

    Dec 11, 2021
    Sat, 7:00–10:00 p.m.
    Burnaby

  • Prerequisites:

    STAT 302 or STAT 305 or STAT 650 or ECON 333 or permission of instructor. Open only to graduate students in departments other than Statistics and Actuarial Science.

Description

CALENDAR DESCRIPTION:

Introduction to linear time series analysis including moving average, autoregressive and ARIMA models, estimation, data analysis, forecasting errors and confidence intervals, conditional and unconditional models, and seasonal models.

COURSE DETAILS:

Outline:

1. Introduction and overview.
2. Stationarity, linear processes, prediction
3. Estimation and removal of trend and seasonality
4. ARMA models: properties, estimation, prediction
5. ARIMA models, properties, estimation, prediction
6. Spectral analysis
7. Special topics, time permitting

Mode of Teaching:
  • Lecture: synchronous and asynchronous (recorded)
  • Tutorial: synchronous
  • Projects: asynchronous; date: TBA

REMOTE LEARNING

The lectures will be conducted synchronously and attendance is mandatory. Lectures will be recorded in zoom for later reference. Tutorials will be conducted synchronously and attendance is mandatory. Tutorials will not be recorded. Enrollment acknowledges that remote study may entail different modes of learning, interaction with your instructor, and ways of getting feedback on your work than may be the case for in-person classes. To ensure you can access all course materials, we require that you have access to a computer with a microphone and camera, and the internet.

Grading

  • Assignments 10%
  • Projects 90%

NOTES:

Above grading is subject to change.

Materials

MATERIALS + SUPPLIES:

  • Access to highspeed internet, webcam.
  • Computer and statistical software package R

REQUIRED READING:

Required Textbook:

Time Series Analysis with Applications in R (2nd ed.) by Jonathan D. Cryer and Kung-Sik Chan. Publisher: Springer

  • Book is available on-line for free through the SFU Libarary
E-Book ISBN: 978-0-387-75959-3
Hardcover ISBN: 978-0-387-75958-6
Softcover ISBN: 978-1-4419-2613-5

Graduate Studies Notes:

Important dates and deadlines for graduate students are found here: http://www.sfu.ca/dean-gradstudies/current/important_dates/guidelines.html. The deadline to drop a course with a 100% refund is the end of week 2. The deadline to drop with no notation on your transcript is the end of week 3.

Registrar Notes:

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS

SFU’s Academic Integrity web site http://www.sfu.ca/students/academicintegrity.html is filled with information on what is meant by academic dishonesty, where you can find resources to help with your studies and the consequences of cheating.  Check out the site for more information and videos that help explain the issues in plain English.

Each student is responsible for his or her conduct as it affects the University community.  Academic dishonesty, in whatever form, is ultimately destructive of the values of the University. Furthermore, it is unfair and discouraging to the majority of students who pursue their studies honestly. Scholarly integrity is required of all members of the University. http://www.sfu.ca/policies/gazette/student/s10-01.html

TEACHING AT SFU IN FALL 2021

Teaching at SFU in fall 2021 will involve primarily in-person instruction, with approximately 70 to 80 per cent of classes in person/on campus, with safety plans in place.  Whether your course will be in-person or through remote methods will be clearly identified in the schedule of classes.  You will also know at enrollment whether remote course components will be “live” (synchronous) or at your own pace (asynchronous).

Enrolling in a course acknowledges that you are able to attend in whatever format is required.  You should not enroll in a course that is in-person if you are not able to return to campus, and should be aware that remote study may entail different modes of learning, interaction with your instructor, and ways of getting feedback on your work than may be the case for in-person classes.

Students with hidden or visible disabilities who may need class or exam accommodations, including in the context of remote learning, are advised to register with the SFU Centre for Accessible Learning (caladmin@sfu.ca or 778-782-3112) as early as possible in order to prepare for the fall 2021 term.