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    st534 syllabus fall 2022

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    st534 syllabus fall 2022

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    st534 syllabus fall 2022

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    Syllabus

    ST 434/534 Applied Time Series MW 11:45 am-1:00 pm

    Donald E.K. Martin


    NCSU

    August 22, 2022

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 1 / 11


    Instructor: Dr. Donald Martin
    email: demarti4@ncsu.edu
    Office hours: Monday 1-2 pm (4272 SAS Hall), Tuesday 7-8 pm
    (zoom), or by appointment.

    Teaching Assistant: Hongjian Yang


    email: hyang23@ncsu.edu
    Office hours: Tuesday 9:30 am - 10:30 am on zoom and
    Thursday 4:30-5:30 pm (1101 SAS Hall)

    I encourage you to discuss any questions or concerns with me (or


    with teaching assistant Hongjian Yang).

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 2 / 11


    Resources

    Textbook: George E.P. Box, Gwilym M. Jenkins, Gregory C.


    Reinsel and Greta M. Ljung; fifth edition, 2016; Time Series
    Analysis - Forecasting and Control, John Wiley & Sons.
    Company.

    Course page: Moodle: https://wolfware.ncsu.edu/

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 3 / 11


    Course description

    Prerequisite(s): For ST434: ST422 and ST430; for ST534:


    ST512 or ST514 or ST515 or ST516 or ST517

    Objective: We consider statistical models and methods for the


    analysis of time series data. The time domain approach to data
    analysis will be the focus, though the spectral domain approach
    will also be touched on, as time allows. Analyses of real data
    sets using statistical software packages will be emphasized.

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 4 / 11


    Topics *

    1 Introduction to time series analysis


    2 Autocorrelation function of stationary processes (Chapter 2)
    3 Linear stationary and nonstationary models (Chapters 3-4)
    4 Forecasting (Chapter 5)
    5 Model fitting (Chapters 6-8)
    6 Analysis of seasonal time series (Chapter 9)
    7 Transfer function models (Chapters 11-12)
    8 Intervention analysis and outlier detection (Chapter 13)
    9 Spectral domain methods (Chapter 2)

    * Topics will be covered as time allows.

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 5 / 11


    Software
    SAS will be used in class.

    You are free to use whatever software suits you. However, you
    will need to make sure that homework assignments are clear so
    that the teaching assistant can grade it.

    Note that if you use SAS, instead of using the NCSU VCL, use
    the Virtual Teaching Lab (VTL) provided by the Statistics
    Department. Information about remotely accessing software may
    be found here:

    https://statistics.sciences.ncsu.edu/resources/it/vtl/.

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 6 / 11


    Homework

    Homework will be assigned approximately bi-weekly (on


    Moodle). There will be 6 assignments; the top 5 of which will
    count towards your grade.

    Late homework will not be accepted.

    Some collaboration on homework is acceptable, and in fact is


    encouraged. If you do work with others, you must list your
    collaborators on the paper you hand in. The work you hand in
    must be your own. Direct copying or misrepresenting the work
    of others as your own is cheating.

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 7 / 11


    Homework (continued)

    Use sentences and explain your work. In grading homework,


    both the correctness of the answer, organization of ideas and
    presentation count. A correct numerical answer with no
    explanation will receive little or no credit.

    Conscientious completion of homework assignments is essential


    to receiving a good grade in this course.

    The following are the due dates for homework assignments:


    Sept 14 and 28, Oct 12 and 26, Nov 9 and 30.

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 8 / 11


    Exams
    There will be two midterm exams and a comprehensive final
    exam.

    The dates for the midterm exams are is Wednesday, Oct. 5


    and Wednesday, Nov. 16.

    The final exam is 12:00-2:30 pm, Friday, December 9.

    There will be NO post-exam make-ups! If you know that you


    have to miss an exam, you need to talk to me beforehand.
    Hopefully we can find a time for you to take the exam before the
    date. If you have a documented sickness, please let me know
    before missing the exam, so that we can talk about a solution
    (which likely will be that your final will count for extra points).
    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 9 / 11
    Grading
    Your final course grade will be calculated as follows.
    Percentage

    Homework Top 5 of 6 assignments 20%


    Midterms Oct 5 and Nov 16 20% each (25% ST434)
    Final 12:00-2:30 pm, Dec 9 30%
    Project 10% (ST534)

    Grade ranges
    A+ A A- B+ B B- C+ C
    97-100 90-96 88-89 86-87 80-85 78-79 76-77 70-75
    C- D+ D F
    68-69 66-67 60-65 < 60

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 10 / 11


    University Policies

    Cheating will not be tolerated. See the university’s policy on


    academic integrity.

    Reasonable accommodations will be made for students with


    verifiable disabilities. In order to take advantage of available
    accommodations, students must register with Disability Services
    Office at 1900 Student Health Center, Campus Box 7509,
    515-7653, https://dro.dasa.ncsu.edu/ .

    Donald E.K. Martin (NCSU) Syllabus August 22, 2022 11 / 11

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