8221 Time series analysis DLM: Filtering, forecasting and
smoothing.
Patrizia Campagnoli
1
Random walk plus noise model
Consider the data Nile (from the library 'datasets'), measurements of the annual flow of the river Nile at
Ashwan from 1871 to 1970.
Co
Bocconi University Time series analysis 8221
(Sonia Petrone).
Lab 5 Constructing a DLM by modeling different components
(trend, cycle,.)
Contents.
Example: estimating the output-gap.
Deterministic or stochastic trend?
Stationary AR components.
Identifi
STAT 5383 Lab 2: Fitting ARIMA models
Giovanni Petris
Fall 2006
1
Fitting ARIMA models
We will first work with a time series of yearly sales data. The data set is available in R
as BJsales. The very first thing to do is to plot the data. Does the series a
8221 Time series analysis
Lab: Dynamic Linear Model
April 28, 2008
1
Installing package dlm locally
The function that we need to do DLM analysis with R are contained in the package dlm,
available on CRAN.
You can load the dlm package and you can list the
# 20236 - Time series analysis - February 2011 - (Sonia Petrone)
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LAB 1 - GETTING STARTED WITH R
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- INTRODUCTION TO TIME SERIES ANALYSIS WITH R
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Getting started with R #
# Look at the MANUAL:"An introduction to R", which comes with the program
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Time series analysis - 20236
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LAB: Univariate models for the output gap
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# setwd("c:.")
# 1. DATA description : US economy GDP
gdp=read.table('gdp5004.txt')
gdp=ts(gdp,frequency=4,start=1950)
plot(gdp,xlab="years",ylab="US GDP",main=")
Lgdp= log(gdp
# 20236 - Time series analysis - March 2011
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# LAB 3 - Dynamic linear models with R #
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# Install and load the package "dlm" from CRAN
library(dlm)
help(package=dlm)
# HOW CAN WE SPECIFY A DLM IN R?
# Consider time invariant dlm
# EX
Principles of Information Security, Fourth Edition
CENARTECH SECURITY CASE: PART 2
Following his meeting with the vice president of human resources, Brian returned to his
department and turned his attention to important IT projects. At the top of his list
Overview
A medium-sized U.S. engineering company (< 500 full-time employees), referred
to in this case study as Cenartech, has a sophisticated information infrastructure
that supports engineering, sales, financial, and human resources functions. The
infor
Principles of Information Security, Fourth Edition
CENARTECH SECURITY CASE: PART 3
When Brian met with Jim, and they reviewed the situation together, Jim resolved to interview
personally each member of the accounting department and the engineering departm