Statistical

Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Statistical Methods
Autocorrelation
Dr.

Orlaith Burke
Michaelmas Term, 2013
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
1
Course Information
2
Basics
3
ARIMA Modelling
Introduction
Identication and Estimation
Non-Stationarity
Diagnostics and Forecasting
Decomposition and Smoothing
4
MCMC output analysis
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Course Information
Dr.

Orlaith Burke
Email: burke@stats.ox.ac.uk
Class Webpage accessible via WebLearn
Lectures:
Week 6 Wednesday 10am
Week 7 Monday 10am and Wednesday 10am
Week 8 Monday 10am
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Course Information
Labs:
Week 7 Lab 1
Week 8 Lab 2 - Second Assessed Practical
To be submitted before 10am Monday Week 9
Class
Week 8 Tuesday 3pm
Solutions should be submitted no later than
2pm Thursday Week 7
Late submissions will not be accepted
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Course Outline and Reading
The following material will be covered in each lecture.
Please ensure that you are familiar with the reading before the
lecture.
Notes for each section are available on the Class Webpage.
Lecture 1 Basics and Introduction
Lecture 2 Identication & Estimation
Non-Stationarity
Lecture 3 Diagnostics & Forecasting
Lecture 4 Decomposition & Smoothing
MCMC Output Analysis
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Recommended Textbooks
The following books may be useful as references and sources of
further information:
Cryer and Chan Time Series Analysis with Applications in R
(Springer)
Wei Time Series Analysis - Univariate and
Multivariate Methods (Addison Wesley)
Hamilton Time Series Analysis (Princeton)
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Fundamental Theory and Denitions
Time Series
Stochastic Process
Autocovariance
Autocorrelation
White Noise
Stationarity - Strict, Weak
Examples
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Box-Jenkins Modelling:
Introduction
Autoregressive Integrated Moving Average Models -
Structure
Examples
Yule-Walker equations
Invertibility
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Box-Jenkins Modelling:
Identication and Estimation
Model Identication
Examples
Estimating the parameters
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Box-Jenkins Modelling:
Non-Stationary Series
Phenomenology
Dierence Stationarity
Trend Stationarity
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Box-Jenkins Modelling:
Diagnostics and Forecasting
Residual Diagnostics
Forecasting
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
Box-Jenkins Modelling:
Decomposition and Smoothing
Principles
Estimating the Trend-Cycle - Smoothers
Centred Moving Averages
Double Moving Averages
Weighted Moving Averages
Local Regression and Loess Smoothing
Classical Decomposition
Statistical
Methods
Autocorrelation
Dr.

Orlaith
Burke
Course
Outline
Course
Information
Basics
ARIMA
Modelling
Introduction
Identication
and Estimation
Non-Stationarity
Diagnostics and
Forecasting
Decomposition
and Smoothing
MCMC output
analysis
MCMC algorithm output
MCMC output as a time series
Thinning
Eective Sample Size
Stationarity
Other convergence diagnostics