lect01_090831 - AMS316 Time Series Analysis Fall 2009 SUNY...

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Fall 2009 SUNY at Stony Brook Department of Applied Maths. & Stat. Haipeng Xing AMS316 Time Series Analysis
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Administrative Prerequisite: Elementary probability and statistics Meeting time: M, W, 3:50pm – 5:10pm Classroom: S B UNION 123. Instructor: Haipeng Xing (Office: AMS 1-102) OH: Monday 1:30pm – 3:30pm or by appointment T.A.s
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Administrative Grading Policy Homework (40%): There are about 7 assignments and they will be due in class. For each assignment, 1% of the course grade will be deducted for each late day. Homework solutions will be posted on course website. Quiz (30%): We will have three quiz on the week of Sept 28, Oct 26 and Nov 23, respectively. There will be NO make up quiz or final under ANY circumstances. Final (30%)
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Administrative Textbook : Chris Chatfield. The Analysis of Time Series: An Introduction . (6th ed.) Chapman & Hall/CRC. Course Website : HW and solution will be posted at http://www.ams.sunysb.edu/~xing/AMS316/index.html
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Administrative Other Reference Introduction to Time Series and Forecasting , 2000, by P. J. Brockwell Time Series Analysis and Its Applications , 2000, by R. H. Shumway & D. S. Stoffer. Springer. Analysis of Financial Time Series , 2002, by R. S. Tsay. Wiley. Time Series: Theory and Methods , 1991, by P. J. Brockwell & R. A. Davis. Springer. Time Series Analysis , 1991, by J. D. Hamilton. Princeton University Press. Time Series: Applications to Finance , 2002, by N. H. Chan. Wiley. Modern Applied Statistics with S , 4 th edition, 2002, by W. N. Venables & B. D. Ripley. Springer.
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What is a time series? – A time series is a collection of observations made sequentially
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lect01_090831 - AMS316 Time Series Analysis Fall 2009 SUNY...

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