Below you will find a description of the material that will be covered next week, and also a description of the material that has been covered earlier.
Week 3 (1/16- 1/20): Chapter 1, sections 1.1-1.6 in Shumway and Stoffer( S&S). R-code is here
Week 4 (1/21-1/27): Finished section 1.6 in S&S, and beginning of 1.7, until paragrahh starting with "In many applied problems, an observed ...". Then sections 2.1-2 and beginning of section 2.3. R-code is here
Week 5 (1/30-2/3): Finished section 2.3, except the two last examples on use of periodogram, which will be covered later. Section 2.4 will also be covered later. Then first part of 3.1-2.
Week 6 (2/6-2/10): Finished section 3.2 and started on section 3.3.
Week 7 (2/13-2/17): Finished section 3.3 and section 3.4 and began on of section 3.5 on forecasting. R-code for the examples in chapter 3 is here
Week 8 (2/20-2/24): Continued section 3.5 on forecasting.
Week 9 (2/27-3/02): Finished section 3.5 on forecasting,
and began on section 3.6 on estimation.
Week 10 (3/05-3/09): Finished section 3.6 on estimation.
and began on section 3.7
Week 11 (3/12-3/16): Finished section 3.7, section 3.8 and section 3.9 up to example 3.46.
Week 12 (3/19-3/23): Finished section 3.9 and then began on chapter 6 on state-space models. Covered the material in sections 6.1 and in 6.2 up to and including the Kalman Filter. R-code for the examples in chapter 6 is here
Week 13 (3/26-3/30): Finished section 6.2, except for proofs of Property 6.2 (Kalman Smoother) and Property 6.3 (Lag-One Covriance Smoother), where only knowledge of the algorithms will be necessary. Then section 6.3 on maximum-likelihood estimation, except the materialal on EM-algorithm on page 340-342, until
the material on asymptotic distribution of the MLEs.
Week 14: Easter break, no class.
Week 15 (4/10-4/13): Will finish section 6.3 on the material on asymptotic distribution of the MLEs. Then Section 6.5 on Structural models and the beginning og Section 6.6 on correlated erors ( until 6.6.2 on Multivariate Regression). Thereafter Chapter 4 on Spectral Ananlysis, sections 4.1-4.3.
R-code for the examples in chapter 4 is here
Week 16 (4/16-4/20): Finished section 4.2 and section 4.3, began on section 4.4.
Week 17 (4/23-4/27): Finished section 4.4,then began on section 4.5.
Week 18 (4/30-5/4): No class, May 1st holiday.
Week 19 (5/7-5/11): Finished section 4.5,then section 4.6.
This was the last lecture in STK4060-sp12.