Applied statistics (AAL: Energy)

Frontpage Lecture plan Vidcasts Datasets R install help

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] Sections 1.1-1.5 (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).

Exercises

Comparison of autocorrelations

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

Autocorrelations in autoregressive process

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

Check for stationarity

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

Old exercises

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

Answers to exercises