Time Series - STAT - EPFL

13. Long-range dependence/Threshold models (27/5/13)
• Long-range dependence
• Continuation; threshold models.
• Work on mini-project
14. Discrete time series/Wrap-up (Reading)
Final mark
• Basic ideas; GLMs; Special models; Markov chain analysis
• Hidden Markov models and Gibbs sampler
• Work on mini-project
The final mark will be determined as follows:
• there will be a data analysis project, to be undertaken in pairs, involving analysis of a
time series data set (to be found by the students concerned, but validated by me), using
R. A report on the data is to be handed in by 7 June 2013. More about this may be
found below;
• a final exam (probably with 5 questions, of which full correct answers to 4 will give full
marks);
• let E be the mark for the final exam (≤ 3) and P be that for the project (≤ 2). Then the
mark M for the course is 1+E+P rounded to the nearest half-mark in {1,1.5,...,5.5,6}.
Data analysis project
Proposal
As soon as possible, I would like to see a brief proposal about your project, consisting of:
• a description of thedata that you plan to analyse, includingsomesuitable plots andmaybe
some other data exploration;
• an indication of the source of the data set;
• the objectives of your investigation;
• a brief overview of the analyses you anticipate completing.
Bear in mind that this will count for 40% of the course mark, and the number of credits for this
course is 4, so this is much less work than a semester project.
The proposal should be made by 8 April 2013 at the very latest, and the earlier the
better—then I can give feedback, and you can start work.
Data
You could look through books in the library, check out links on the course web page, or look
at the many times series data sets available in R. It is best if the data comprise a few hundred
equally-spaced observations, but you should try to find something that interests you.
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