Statistics 451 - Applied Time Series
Instructor: William Q. Meeker, 294-5336
Office Hours: MWF 2:10-3:00 p.m. in 2019 Snedecor Hall (or by
Lecture: MWF 12:10-1:00, Sweeney 1126
Assignments: Due weekly on Fridays, unless announced otherwise.
Examinations: Two one-hour exams plus a two-hour final examination.
Statistics 451 homepage:
Text: None required; see suggested reading below
Class Notes: Available from the course homepage.
Introduction to time series and time series models. (Handout 1 and
Chapters 1 and 2, 2 days)
Review of multiple regression and descriptive methods, and further
introduction to time series analysis. (Handout 1A; 6 days)
Graphical techniques, transformations, analysis of residuals, autocorrelation.
Fundamental concepts of time series modleing. (Handout 2, Chapters 1 and 3; 10 days) Stochastic processes,
process and sample autocorrelation function, partial autocorrelation function.
Stationary time series models. (Handouts 3 and 4, Chapter 3; 6 days) ARIMA models,
Nonstationary time series. (Handout 5, Chapter 4; 3 days) Differencing, transformation,
Estimation in time series. (Handout 6; 2 days) Nonlinear least
squares, potential problems, diagnostic checking and residual analysis.
Forecasting and prediction intervals. (Handout 7, Chapters 4 and 5; 4 days)
Seasonal time series models. (Handout 8, Chapter 5; 3 days)
SARIMA models, identification, estimation, forecasting.
Transfer function and intervention models. (Handouts 9 and 10, Chapters 8; 11 days)
Vector (multivariate) time series. (Chapter 9, notes; 3 days)
Time Series Analysis and Forecasting by Example by
Soren Bisgaard and Murat Kulahci, John Wiley and Sons.
Time Series Analysis -
Univariate and Multivariate Methods (Second Edition) by William W.S.Wei
Time Series Analysis: Forecasting and Control by G.E.P. Box and
Practical Experiences with Modeling and Forecasting Time Series by G.M.
Students with disabilities
Please address any special needs or special accommodations with me at the
beginning of the semester or as soon as you become aware of your needs.
Those seeking accommodations based on disabilities should obtain a Student
Academic Accommodation Request (SAAR) form from the Disability Resources
(DR) office (515-294-6624). DR is located on the main floor of the Student
Services Building, Room 1076.
Click here to go to W.Q. Meeker's homepage.