Time Series - STAT - EPFL

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Report The report should be typed in either English or French. Do not include hand-written material unless you want to write out equations and don’t know LATEX. Some notes on report-writing can be found at http://stat.epfl.ch/page-34953.html, though your report should be much shorter than for a semester project. The structure should be Introduction Briefly state the purpose of the analysis, what type of data were analysed, what methods were used, and what the results were. Description of the methods used, using your own words. Give the key elements only: you can refer to the lecture notes and to books, but should give careful references (to pages and equations etc.) so I can easily look them up. It is not enough simply to give a list of sources at the end of the work: references should be mentioned in the text, and only those mentioned in the text should be listed at the end. Discussion of the results in more detail. Include crucial plots and tables only, make sure they are legible, and that their axis labels and captions are clear and informative; each graph should tell the reader a clear and coherent story. The text can give more details, if they are needed, and show where the graph/table fits into the overall picture. The discussion shouldshowhowthestatistical methodsshedlightonthedataandtheunderlyingproblem. Tables should have appropriate numbers of digits. Conclusions carrying the take-away message from your analysis, in your own words. Again, this should be related to the data. Convince the reader that you know what you did and are aware of its strengths and limitations. Sketch what more you might do, if you had more time. Marking scheme Correctness Accurate, appropriate use of Incorrect, statistical tools many errors 10 9 8 7 6 5 4 3 2 1 0 Score Interpretation Correct, appropriate Little or none 5 4 3 2 1 0 Score Discussion Thoughtful, imaginative Banal 5 4 3 2 1 0 Score Quality of writing Good grammar and punctuation, Poor grammar and including mathematics punctuation 5 4 3 2 1 0 Score Graphics and tables Clearly labelled, well-chosen, Poorly labelled, no good captions and discussion, discussion, unmotivated, appropriate numbers of digits unedited output 10 9 8 7 6 5 4 3 2 1 0 Score Referencing Full, accurate, and detailed Inadequate citation references given of sources 5 4 3 2 1 0 Score Originality and scope Original choice of topic, Standard choice of dataset, wide range of tools/ideas limited range of tools/ideas 10 9 8 7 6 5 4 3 2 1 0 Score Grand total (max 50) 4
Time Series: Bibliography There are many books on statistical time series analysis, in addition to the many more in other fields. There are also two main statistical journals devoted to the area: Journal of Time Series Analysis, and Journal of Forecasting, plus journals of finance and econometrics/economics plus general statistical journals in which time series articles appear. So plenty of reading is available! References Anderson, T. W. (1994) The Statistical Analysis of Time Series (Classics Edition). Wiley- Interscience. Beran, J. (1994) Statistics for Long-Memory Processes. London: Chapman & Hall. Bloomfield, P. (2000) Fourier Analysis of Time Series: An Introduction. Second edition. New York: Wiley. Box, G. E. P., Jenkins, G. M. and Reinsel, G. C. (1994) Time Series Analysis: Forecasting and Control. Prentice-Hall Inc. ISBN 0-13-060774-6. Brillinger, D. R. (1981) Time Series: Data Analysis and Theory. Expanded edition. San Francisco: Holden-Day. Brockwell, P. J. and Davis, R. A. (1991) Time Series: Theory and Methods. Second edition. New York: Springer. Brockwell, P. J. and Davis, R. A. (2002) Introduction to Time Series and Forecasting. Second edition. New York: Springer. Bühlmann, P. (2002) Bootstraps for time series. Statistical Science 17, 52–72. Chan, K.-S. and Tong, H. (2001) Chaos: a Statistical Perspective. Springer-Verlag Inc. ISBN 0-387-95280-2. Chan, N. H. (2002) Time Series: Applications to Finance. John Wiley & Sons. ISBN 0-471- 41117-5. Chandler, R. E. and Scott, E. M. (2011) Statistical Models for Trend Detection and Analysis in the Environmental Sciences. Chichester: Wiley. Chatfield, C. (1996) The Analysis of Time Series. Fifth edition. London: Chapman & Hall. Cowpertwaite, P. and Metcalfe, A. (2009) Introductory Time Series with R. New York: Springer. Cox, D. R.(1981) Statistical analysis of timeseries: Somerecent developments (withdiscussion). Scandinavian Journal of Statistics 8, 93–115. Cox, D. R., Hinkley, D. V. and Barndorff-Nielsen, O. E. (eds) (1996) Time Series Models In Econometrics, Finance and Other Fields. London: Chapman & Hall. Diggle, P. J. (1990) Time Series: A Biostatistical Introduction. Oxford: Clarendon Press. Durbin, J. and Koopman, S. J. (2001) Time Series Analysis by State Space Methods. Oxford University Press. ISBN 0-19-852354-8. Gouriéroux, C. (1997) ARCH Models and Financial Applications. New York: Springer. 5
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