Linear Time Series Analysis (FS 2016)

Welcome to Linear Time Series Analysis! This website contains all the teaching material that you needed for the course. Teaching dates and venues are found below.

Week     Day     Date     Time Room
Week 1: Wednesday 24.02.2016 16:15-20:00 01-U121
Week 2: Wednesday 02.03.2016 16:15-20:00 01-U121
Week 3: Wednesday 09.03.2016 16:15-20:00 01-U121
Week 4: Wednesday 16.03.2016 16:15-20:00 01-U121
Week 5: Wednesday 23.03.2016 16:15-20:00 01-U121
Week 6: Wednesday 30.03.2016 16:15-20:00 01-U121

What's New

I have emailed you regarding the schedule of available oral exam slots. Can you please check your emails and get back to me as quickly as possible. The remaining slots are listed here.

I have uploaded some solutions to the exercises and also the assignment for the course.

Office hours: Fridays between 10:30-12:00 at Bodanstrasse 6, 3rd Floor.

Lecture Notes

Access to the lecture notes is password protected.

Topic 1: Lecture Slides Print (2x1) Version Exercise Solutions
Topic 2: Lecture Slides Print (2x1) Version Exercise Solutions
Topic 3: Lecture Slides Print (2x1) Version
Topic 4: Lecture Slides Print (2x1) Version

R Programs and Data

Here are some links to programs and scripts that we will us in the course.

Scripts Functions Functions
Example ACF Plot Theory ACF/PACF Plot Sample ACF/PACF
Example ACF ARMA(3,2) ARMA to MA(inf) ARMA to AR(inf)
Example Estimation
Example Overfitting


I have uploaded the graded homework exercise and the data below.

Graded Homework Data File (xls)