# Time Series 2011-2012

Tuesday 16:00-18:00
Lecture hall C-105 - Escuela Politécnica Superior, UAM
Lecturer:     Alberto Suárez
Language of instruction: Spanish.

News

2011/10/04  Classes start on Tuesday October 4, 2011

2011/12/22  Course on "Optimal control theory"

• [2012/01/10, 16-18, C-105] "Optimal control theory I" by Prof. Bert Kappen, Radboud Universtity, Nijmegen, Paises Bajos.
• [2012/01/11, 14-16, B-351] "Optimal control theory II" by Prof. Bert Kappen, Radboud Universtity, Nijmegen, Paises Bajos.
• [2012/01/12, 14-18, edificio A, planta 3, laboratorio 6B] "Optimal control theory III" by Prof. Bert Kappen, Radboud Universtity, Nijmegen, Paises Bajos.

• General information

Resources
• Lecture notes

• Lecture transcriptions

•       [2011/10/04] Time series. Differential equations (continuous time). Difference equations (discrete time)
Exercise: Use Euler scheme to integrate a simple differential equation.
[2011/10/11] Probability and statistics. The Gaussian distribution. Moments. Sample moments.
Exercise: Calculate using quadratures the moments of a Gaussian random variable.
[2011/10/18] Pseudo-random numbers. Method of the inverse. Numerical inversion of the cdf.
Exercise: Random numbers with the Cauchy distribution.
[2011/10/25] Gaussian white noise. Wiener process. Generalized Wiener process. Heat equation. Geometric Brownian motion. Relation between binomial process and Brownian motion.
Exercise: Lab assignment 1. Simulation binomial process.
[2011/10/25] Relation between binomial process and Brownian motion. Heat equation. Geometric Brownian motion.
Exercise: Lab assignment 1.

• Lab assignments

• Seminars

• [2011/12/20, 16-18, C-105] "Causal models" by Dr. Joris Mooij, Radboud Universtity, Nijmegen, Paises Bajos
• [2011/12/21, 16-18, Salón de grados] "Causal models: Beyond faithfulness" by Dr. Joris Mooij, Radboud Universtity, Nijmegen, Paises Bajos.
• [2012/01/10, 16-18, C-105] "Optimal control theory I" by Prof. Bert Kappen, Radboud Universtity, Nijmegen, Paises Bajos.
• [2012/01/11, 14-16, B-351] "Optimal control theory II" by Prof. Bert Kappen, Radboud Universtity, Nijmegen, Paises Bajos.
• [2012/01/12, 14-18, edificio A, planta 3, laboratorio 6B] "Optimal control theory III" by Prof. Bert Kappen, Radboud Universtity, Nijmegen, Paises Bajos.

20%   Exercises, class participation.
30%   Lab assignments.
10%   Seminar presentation.
40%   Final exam (it is necessary to have a pass grade in the exam to have a pass grade for the subject).

Bibliography

• Introduction to time series and forecasting , P.J. Brockwell, R. A. Davis, Springer Texts in Statistics (1996)
• Time series analysis, J. D. Hamilton Princeton University Press, Princeton, NJ (1994)
• Time Series Prediction, A.S. Weigend and N. A. Gershenfeld eds. Addison-Wesley, Reading, MA, (1994)
• Time Series: Theory and Methods, 2nd. Ed. P.J. Brockwell and R. A. Davis Springer-Verlag, (1991)
• Non-linear Time Series, H. Tong, Oxford Science Publications (1996)
• Modelling nonlinear economic relationships, C. W. J. Granger and T. Teräsvirta , Oxford University Press, Oxford (1993)

Last update: 2011/12/22
Suggestions: alberto.suarez@uam.es