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
• General information
• Resources
• Grades
• Bibliography

• Description of the subject [English] [Spanish]
• Syllabus [English] [Spanish]
• Library resources

• Lecture notes
• Random numbers (in Spanish)
• Random numbers (exercises, in Spanish)
• Brownian motion (in Spanish)
• Simulation of Brownian motion (in Spanish)
• Time series (in Spanish)
• Neural nets in time-series modelling
• Markov Chain Monte Carlo
• Short course on control theory and dynamic programming


• 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


• Lab assignment 1
• Lab assignment 2 [Additional material (1)] [Additional material (2)]


• 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).

• 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)