Course Information

• Information Sheet
• Errata
• Selected Data Sets
• Lecture Notes
  
  Chapter 2: Probability and Statistical Models
  

  Homework
  

  HW#1, due on Tuesday, Jan. 22nd at the beginning of the class.
  

  Problems: 1, 9, 11, 12, 14, 16.
  

  HW#2, due on Tuesday, Jan. 29th at the beginning of the class.
  

  Problems: 1, 2, 5.
  

  HW#3, due on Thursday, Feb. 21st at the beginning of the class.
  

  Analyze the adjclose price in the cree data and answer the following question

  1. Are the first 12 lags of autocorrelations zero?

  2. Build the most appropriate AR, MA, ARMA, or ARIMA models for the adjclose price.

  3. Use your model to produce 1-step to 3-step ahead forecast of the adjclose price.
  

  Special Course Announcements
  

  GM stocks from 2000 to 2008
  

  
  Last modified on 01/22/08