ST7005: Time Series
Hilary Term 2016
Lecturer: Rozenn Dahyot
Timetable

Starting Tuesday 1st March 2016:
 18:0020:00 Tuesdays in LB04
 18:0020:00 Thursdays in LB04
R Software
Playing with data is an important part of Statistics modules. Help is given on this webpage for using R.
Lecturenotes
Some lecturenotes for a similar course (ST3010 run for undergrads in Michaelmas term) are available. ST7005 follows the same content as ST3010 in a shorter time frame, hence in ST7005 there will be less emphasis on some of the mathematical content of the lecturenotes and more emphasis on practical aspects.
Exam/Assessment
 Exam (100%)
References
There are a lot of books on time series, forecasting in the Library that are relevant to the course. Below the first book is given as an example reference. It is available in the library and most of the time series used in the labs are explained in that book.
 Forecasting  Methods and Applications S. Makridakis, S. C. Wheelwright and R. J. Hyndman, Wiley
 Forecasting: principles and practice online book by R. Hyndman and G. Athanasopoulos
Weekly timeline

01/03/2016: Introduction to Time series, Visualisation of time series (lecturenotes chapters 1&2)

Prediction is very difficult, especially about the future:
 Example with Earthquake
 Example of using forecasting techniques: Detecting influenza epidemics using search engine query data, Nature 2009
 Example of misusing forecasting techniques: The pending demise of facebook (and Princeton) or Facebook 's Future

03/03/2016: Holt Winters Algorithms: SES and DES (chapters 4,5 and 6)

08/03/2016: Seasonal Holt Winters Algorithms
 Excel SES and DES algorithms for Dowjones time series
 Excel SHW+ algorithm for beer time series.
 The HoltWinters Approach to Exponential Smoothing: 50 Years Old and Going Strong, Paul Goodwin, Foresight Fall 2010

10/03/2016: Linear Regression and Auto Regressive models (chapter 8 and 9)
 15/03/2016: ARIMA(p,d,q) (chapters 9, 10, 11)

17/03/2016: Bank holiday
 22/03/2016: Seasonal ARIMA (LB04)

24/03/2016: Lab on HoltWinters Algorithms in East End PC labs (EE.PC)
 29/03/2016: Backshift operator, stationarity in variance (LB04)

31/03/2016: Exercises/Exam revisions (LB04)
 05/04/2016: Conclusions (LB04)
 07/04/2016: Lab on ARIMA models in East End PC labs (EE.PC)