Stat 4840/5084

Time Series

Updated

General Information

STAT 4840/5084
Spring 2025 TR 11:00-12:15 in Ritter 323
Dr. Bryan Clair.
Office hours: T 12:30-1:30, W 2:10-3, Fri 1:10-2 in 109 Ritter Hall
Course syllabus
Textbook: Hyndman and Athanasopoulos, Forecasting: Principles and Practice (3ed)

Forecast Contest Scoreboard

Spring 2025

Past semesters: Spring 2024, Spring 2023

Final Project

Here is the assignment: Final Project.

And here are some useful links:

SAIPE home
SAIPE data dashboard
County level estimation details
SAIPE model inputs (see also the link on that page to Archived Datasets)

Course Materials

Midterm: midterm.pdf, solutions
Take Home Quiz 1: thq-1.pdf, markdown template, and solutions.

Homework 1 (1/31)
Homework 2 (2/12)
Homework 3 (3/5), Robert Nau's notes on the mean model.
Homework 4 (3/28): Do FPP3 Chapter 7 problems 1, 4*, 5, 6.
* Notes for problem 4: In part (c), there is no need for a surfing festival dummy variable, since the seasonal dummy variables already provide a dummy variable for the month of March. In part (d), plot the log of the fitted values, since we fitted this model to the log of Sales.
Homework 5 (4/10)

Group Lab: Seasonal Decompositions (1/28)
Group Lab: Autocorrelation (2/11)
Group Lab: Features (2/23)
Group Lab: Models (3/4)
Group Lab: Regression (3/26)
Group Lab: Exponential Smoothing (4/8)
Group Lab: Autoregressive Models (4/15)

Grad Problem: MA of linear series
Grad Problem: ACF for white noise
Grad Problem: Mean of a random walk
Grad Problem: Fitting an MA(1) model
Grad Problem: SES is a special case of ARIMA

Data

EEG of a patient having a seizure, sampled 256 per second: eeg.csv (Source: Cryer, Chan, Time Series Analysis, also available in the TSA R library)

Missouri Bar Exam passing rates: MO-bar-pass-rates.csv (Source: Mo. Board of Law Examiners)

Number of event permits issued by St. Louis Streets Department, 2013-2019: stl-event-permits.csv (Source: City of St. Louis Open Data)

Weekly influenza mortality report for the US. flu-weekly.csv (Source: CDC FluView)

Google search interest in the term 'skiing' in the U.S. and New Zealand since 2004. skiing-us-nz.csv (Source: Google Trends)

CO₂ levels at Mauna Loa, the Keeling curve: co2_mm_mlo.csv. (Source: NOAA Global Monitoring Laboratory)

SLU Calculus 1 enrollments: calc1-enrollment.csv

Mississippi river flow at St. Louis Missouri: mississippi-discharge.csv. (Source: USGS National Water Information System)

Brucellosis cases in China: brucellosis.csv. (Source: BMC Infectious Diseases)

FRED estimate of paper sales: paper_sales.csv. (Source: FRED blog Paper sales in a digital world. Note that quantity is really an estimate of paper-related office supply and stationery products, with meaningless units.)

Top games on Steam, 2012-2021: steam.csv. (Source: Kaggle, Steam Monthly Player Data). See also extremes-steam-plots.pdf, showing games with extreme ACF values.

Arabica and Robusta Coffee beans: Coffee_train.csv and Coffee_test.csv. (Source: UCR Time Series Classification Archive, originally from Briandet, Kemsley, Wilson, 1996)

Ford engine noise: FordA_train.csv and FordA_test.csv. (Source: UCR Time Series Classification Archive)

Sea surface temperatures in El Nino regions of the South Pacific: sst.csv (Source: NOAA Climate Prediction Center)

Quetiapine drug dispensing counts, Australia, 2011-2014: quetiapine.csv (Source: Schaffer, A.L., Dobbins, T.A. & Pearson, SA., BMC Med Res Methodol 21, 58 (2021))