Syllabus of STAT 626, Summer 1998

H. Joseph Newton
Professor of Statistics
Executive Associate Dean, College of Science
Texas A&M University

Class: M-T-TH, 2:00--3:15, Blocker 161
Office: 517 Blocker Building.
Hours: Daily, 1:00-2:00, or by appointment.

Phone: (409) 845-7361.
FAX: (409) 845-3144.
E-mail: jnewton@stat.tamu.edu
Address: Statistics Department , Texas A&M University , College Station TX 77845 USA.

Prerequisites

Knowledge of random variables, moments, distribution theory, maximum likelihood estimation, and regression analysis (using matrices) such as covered in STAT 601 is assumed; complex numbers and trigonometry.

Course Materials

The text for the course is a reprint of ``TIMESLAB: A Time Series Analysis Laboratory,'' written by the instructor and originally published by Wadsworth & Brooks/Cole. It is available from Copy Corner, which is located at the corner of George Bush Drive and Texas Avenue. A zip file of Version 1.5 of Timeslab can be downloaded here.

Determining the Course Grade

Course Outline


#    Date       Topic                                            Chapter
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1    June   1   Introduction, Correlogram, Partial Correlogram   1.1-1.4.2
2    June   2   Introduction to TIMESLAB                         Appendix B
3    June   4   Periodogram                                      1.4
4    June   8   Periodogram                                      1.4
5    June   9   Transforming Data                                1.5
6    June  11   Transforming Data                                1.5
7    June  15   Simple Forecasting                               1.6
8    June  16   Difference Equations                             1.6
9    June  18   Theory of Covariance Stationary Time Series      2.1, 2.2
10   June  22   Exam 1: Covers Chapter 1
11   June  23   Linear Filters                                   2.3
12   June  25   Prediction Theory                                2.4
13   June  29   Random Walks, ARMA Processes                     2.5
14   June  30   ARMA Processes                                   2.5
15   July   2   Properties of Descriptive Statistics             3.1
     July   6   No Class 
16   July   7   Tests for White Noise                            3.2
17   July   9   Window Spectral Estimation                       3.3
18   July  13   Estimating and Identifying ARMA Models           3.4, 3.5
19   July  14   Exam 2: Covers Through Section 3.3
20   July  16   Box-Jenkins Forecasting                          3.6
21   July  20   Box-Jenkins Forecasting                          3.6
     July  21   Last Day to Q-Drop 
22   July  21   Other Modeling Strategies                        3.7
23   July  23   Searching for Periodicities                      3.8, 3.9
24   July  27   Introduction to Bivariate Series                 4.1
25   July  28   Coherence, Phase, Gain                           4.1
26   July  30   More on Bivariate Series                         4.2
27   August 3   Final Project Reports
28   August 4   More Final Project Reports
29   August 6   Last Day