Applied statistics (ESB: Energy)

Frontpage Lecture plan Vidcasts Datasets R install help

Stochastic processes III

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] Ch. 3.2. The rest of todays material is not covered by the book, so we will rely on the slides instead.

Lecture material

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

Answers to exercises

Exercises

Cross correlation function

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

Linear regression with ARMA noise

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

Old exercises

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