Applied statistics (ESB: Energy)

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Stochastic processes I

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 1 (except 1.5.4) and Sections 2.1, 2.2 (except 2.2.3) and 2.3 (except 2.3.3).

Lecture material

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

Answers to exercises

• Beer
• Comparison of autocorrelation
• Partial autocorrelation

Exercises

Beer

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

Comparison of autocorrelations

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

Partial autocorrelation

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

Old exercises

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