Applied statistics (AAL+Esb: Energy)

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Stochastic processes II

Literature

For this module we will use the following book with free online access through the university library (you may need to be on the university network):

[CM] Cowpertwait, P. and Metcalfe A. (2009)
Introductory Time Series With R.
https://link.springer.com/book/10.1007/978-0-387-88698-5

Note: The book website for datasets has changed from http://www.massey.ac.nz/~pscowper/ts/ to http://www.maths.adelaide.edu.au/andrew.metcalfe/Data/ and you need to adjust code in the book accordingly if you try out examples on your own.

The literature for this lecture is:
[CM] Chapter 4 (except 4.3.5, 4.4.2 and 4.5.4) and Chapter 6 (except 6.5.2).

Lecture material

This lecture as: slideshow (html), Rmarkdown (Rmd), notes (pdf).

Answers to exercises

• AR(1)
• AR(2)
• MA(1)
• ARMA(2,2)

Exercises

AR(1)

This exercise should be answered using the Rmarkdown file AR1.Rmd which can be downloaded here.

AR(2)

This exercise should be answered using the Rmarkdown file AR2.Rmd which can be downloaded here.

MA(1)

This exercise should be answered using the Rmarkdown file MA1.Rmd which can be downloaded here.

ARMA(2,2)

This exercise should be answered using the Rmarkdown file ARMA22.Rmd which can be downloaded here.

Old exercises

Go through old exercises you didn't finish yet (in particular exams).