代做EN.553.439/639 Time Series Analysis帮做R程序

Applied Mathematics and Statistics

EN.553.439/639

Time Series Analysis

Spring 2024 (3 credits, EQ)

1/18/2024 - 1st DRAFT

Lectures

Lectures are held on Mondays, Wednesdays and Fridays.

Section	Building	Room	Day of Week	Start Time	End Time
EN.553.439	Remsen Hall	101	MWF	9:00 AM	9:50 AM
EN.553.639	Remsen Hall	101	MWF	9:00 AM	9:50 AM

Textbook

J.D.Cryer and K.-S.Chan, Time Series Analysis with applications in R, 2nd edition, Springer.

Online Resources

•   Please log in to CANVAS for all materials related to this course. All the class

materials are posted under the merged labelEN.553.439.01.SP24 Time Series Analysis.

• PIAZZA has been setup for the class (see CANVAS for the link)

Post questions regarding the material of the class, logistics, and homework

assignments. Piazza is mostly for students to have discussions with one other. The TAs and the instructor will respond sometimes but it gets difficult, especially in

the days leading up to the exams and close to HW deadline.

•   Homework submission will be done via GRADESCOPE.

Pre-Requisites

•   (EN.553.310[+] OR EN.553.311[+] OR EN.553.420[+] OR EN.553.421[+] OR EN.553.620[+]) AND (AS.110.201[+] OR AS.110.212[+] OR EN.553.291[+])

•    Students may receive credit for EN.553.439 or EN.553.639[+], but not both.

Course Topics

This course will cover approximately the first ten (10) chapters and parts of Chapter 12 of the Cryer and Chan text.

1. Fundamental tools: mean, variance, covariance, autocovariance, and autocorrelation functions.

2. Basic models for time series, notions of stationarity: strict, weak.

3. Trends: deterministic vs. stochastic trends, deterministic trend estimation.

4. Linear models: general linear processes, Autoregressive Moving Average (ARMA) processes.

5. Nonstationary models: differencing, ARIMA processes; transformations: variance stabilizing.

6. Model specification/identification: picking an appropriate model via ACF, PACF, EACF.

7. Estimation of parameters: Yule-Walker, Maximum Likelihood, least squares and conditional least squares estimation.

8. Model diagnostics and fit: testing residuals.

9. Forecasting: general linear forecasting of ARIMA, prediction intervals.

10. Seasonal Box-Jenkins models: SARIMA process, forecasting, diagnostics.

11. Regression methods: intervention analysis, outlier detection, spurious correlation, pre-whitening.

12. Heteroskedastic models: ARCH, GARCH processes.

13. Other topics as time allows; nonlinear times series, spectral/frequency domain methods.

Course Expectations & Grading

•   6 homework assignments for 30%

•   One midterm for 30%

•   One final exam for 40% (cumulative)

The total class grade will be curved. As a guideline, the mean score for the class is a rough boundary between B and B+.

What are the cutoffs? Cutoffs will depend on how strong the class is, they vary from year   to year. E.g., if there are more PhD students taking the class, there will be more A’s given. Roughly, if you score 1SD above the mean for all your assignments, you are in the

A-/A territory. If you score 1SD below the mean for all your assignments, you are in the B-/C+ territory.

439 vs 639 curve. The curve is done for the combined class, but the cutoffs are shifted in favor of the 439 students. E.g., if you are taking 639 and get a B, then a 439 student with the same score will get B+; if a 639 student gets a B+, a 439 student with the same score will get A-. The rule does not work for A+. To get an A+ the student (either 639 or 439) must demonstrate stellar performance in exams, homework assignments and be visible to the instructor in the class and outside of the class.

Key Dates

•   Midterm: Wed, March 13th, 7pm-9pm, in person (Week 8).

•   Final Exam (cumulative): Mon, May 6th, 6pm-9pm, in person.

You are expected to take the exams in-person on the indicated dates. Please remember   that in order to take the class completely remotely you need permission from the Dean’s office. Put these dates in your calendar!

Note: The midterm exam will be in-person (on paper); it will be scanned by the TAs and will be graded on Gradescope.

Assignments

•   Homework submission will be done via Gradescope (integrated in CANVAS).

•   There will be 6 HWs, usually due on Fridays, 11:59pm.

• Late submissions are accepted up to 24 hours with a 20% penalty.

•   You are allowed ONE late submission without penalty per semester, no need to email us to ask for an extension.

•   Homeworks will typically be assigned approximately one week before due date.

•   NOTE: some of the material that is needed to solve the problems in a homework assignment maybe covered after the homework is posted (but always before the homework is due).

PRO TIP: upload whatever you have by 11pm on the day it is due, keep working on it (if you have to), and upload the final version before 11:59pm. No excuses for late  submission will be accepted (it is not fair to other students who put in work and submitted on time).

•   You MUST TAG your problems in a homework submission. Failure to do so will result in a 5 point penalty.

•   Discussion of homework problems among students is encouraged, but when in doubt, direct your questions to the instructor or the teaching assistants.

• Students should submit individual solutions for the homework sets. Discuss all

you like before you start writing up solutions, but your submitted solutions should reflect your own understanding and be stated in your own words.

Homework assignments and exams should be submitted through Gradescope, formatted as a single, organized PDF file. Make sure that the file that you upload is of reasonable  size (ideally, 5 megabytes or less). Werecommend using mobile apps such as

CamScanner or GeniusScan, that allow you to convert your documents into black and

white (not grayscale!). Alternatively, if you have a tablet device, you can write your

solutions on electronic paper (e.g. using Notability or OneNote), and upload the resulting PDF. Again, make sure that the file is of reasonable size.

Miscellanea

No “senior option”: everyone, including graduating students, must take the final exam.

No extra work for extra credit: In order to be fair to everyone, we will not assign any individual student extra work to get “extra credit” to boost their grade (otherwise we’d have to give everyone the same opportunity). Your grade is the reflection of your work in this class during the semester.

Regrading policies for homework/exams

Please rest assured that the utmost effort is made by the TAs and the instructor so that problems are graded consistently: if a number of points are deducted for a certain type of error, then anyone else making that same error will have the same deduction. Do not assume that your work was graded in a “harsher” manner than others’. However, if you feel that somehow your assignment was graded incorrectly, you should submit aregrade  request on Gradescope, explaining in a few lines why you think that a particular problem in your exam should be graded differently.

Regrade requests for homework/exams via Gradescope will be open for 1 week after the grades have been posted. No regrade requests after the deadline would be accepted.

Ethics

The strength of the university depends on academic and personal integrity. In this course, you must be honest and truthful. Ethical violations include cheating on exams, plagiarism, reuse of assignments, improper use of the Internet and electronic devices, unauthorized collaboration, alteration of graded assignments, forgery and falsification, lying, facilitating academic dishonesty, and unfair competition.

In addition, specific ethics guidelines for this course are:

1.   In this course, you may collaborate with other students on homework. However,   you are ALWAYS to writeup your solutions individually, even when you work in a group.

2. Use of previous course material is prohibited (except as provided by the instructor). If you have questions about this policy, please ask the instructor.

3. Use of solutions manuals and other instructors’ materials are ALWAYS prohibited.

4.   Students are reminded that misrepresenting information about their personal   circumstances to a university official, including a faculty member, constitutes academic dishonesty and is grounds for action by the Academic Ethics Board.

5.   If you are aware of any classmates involved in behavior of questionable ethics

with regards to this class, you should contact the instructor or a teaching assistant and immediately report any violations you witness to the instructors.

You can find more information about university misconduct policies on the web at these sites:http://e-catalog.jhu.edu/undergrad-students/student-life-policies/

Personal Wellbeing

•   Because of ongoing COVID- 19 concerns, special requirements maybe in effect this term, and these may vary during the term. Please keep updated with these at the

following sites:

o University information:https://covidinfo.jhu.edu/

o Whiting School of Engineering information:

https://engineering.jhu.edu/covid-19/

•   COVID- 19 vaccination is required unless an exception has been granted by the university for health or religious reasons.

•   If you are sick please notify me by email so that we can make appropriate

accommodations should this affect your ability to attend class, complete

assignments, or participate in assessments. The Student Health and Wellness Centeris open and operational for primary care needs. If you would like to speak

with amedical provider, please call 410-516-8270, and staff will determine an

appropriate course of action. See also https://studentaffairs.jhu.edu/student- life/student-outreach-support/absences-from-class/illness-note-policy/

•   Johns Hopkins University values diversity and inclusion. We are committed to

providing welcoming, equitable, and accessible educational experiences for all

students. Students with disabilities (including those with psychological conditions,

medical conditions, and temporary disabilities) can request accommodations for this  course by providing an Accommodation Letter issued by Student Disability Services (SDS). Please request accommodations for this course as early as possible to provide time for effective communication and arrangements.

For further information or to start the process of requesting accommodations, please contact Student Disability Services at Homewood Campus, Shaffer Hall #101, call:  410-516-4720 and email:studentdisabilityservices@jhu.eduor visit the website

https://studentaffairs.jhu.edu/disabilities/.

•   If you are struggling with anxiety, stress, depression, or other mental health related   concerns, please consider visiting the JHU Counseling Center.  If you are concerned about a friend,please encourage that person to seek out their services. The

Counseling Center is located at 3003 North Charles Street in Suite S-200 and can be

reached at 410-516-8278 and online at

http://studentaffairs.jhu.edu/counselingcenter/

Student Outreach & Support helps students manage physical and mental health concerns, personal and family emergencies, financial issues, and other obstacles that may arise

during their college experience. Students can self-refer or refer a friend who may need

extra support or help getting connected to resources. To connect with SOS, please visit this website:https://studentaffairs.jhu.edu/student-life/student-outreach-support/or

email deanofstudents@jhu.edu, call 410-516-7857, or students can schedule to meet with a Case Manager by visiting the Student Outreach & Support website and filling out a referral form. online.

Classroom Climate

As your instructor, I am committed to creating a classroom environment that values the diversity of experiences and perspectives that all students bring. Everyone here has the

right to be treated with dignity and respect. I believe fostering an inclusive climate is

important because research and my experience show that students who interact with peers who are different from themselves learn new things and experience tangible educational   outcomes. Please join me in creating a welcoming and vibrant classroom climate. Note

that you should expect to be challenged intellectually by me, the TAs, and your

peers, and at times this may feel uncomfortable. Indeed, it can be helpful to be pushed sometimes in order to learn and grow. But at no time in this learning process should someone be singled out or treated unequally on the basis of any seen or unseen part of their identity.

If you ever have concerns in this course about harassment, discrimination, or any unequal treatment, or if you seek accommodations or resources, I invite you to share directly with me or the TAs. I promise that we will take your communication seriously and to seek mutually acceptable resolutions and accommodations. Reporting will never impact your course grade. You may also share concerns with the department head (Fadil Santosa, [email protected]), the Director of Undergraduate Studies (Donniell Fishkind, [email protected]), the Assistant Dean for Diversity and Inclusion (Darlene  Saporu, [email protected]), or the Office of Institutional Equity ([email protected]). In handling reports, people will protect your privacy as much as possible, but faculty and staff are required to officially report information for some cases (e.g. sexual harassment).

Family Accommodations Policy

You are welcome to bring a family member to class on occasional days when your

responsibilities require it (for example, if emergency child care is unavailable, or for health needs of a relative).  Please be sensitive to the classroom environment, and if your family    member becomes uncomfortably disruptive, you may leave the classroom and return as needed.

Policy on Incomplete Grades

The full policy is available here:

https://e-catalogue.jhu.edu/engineering/full-time-residential-programs/undergraduate- policies/academic-policies/grading-policies/

The significant component of this policy is that there is an Incomplete Grade Contract

available to students in SIS to request an incomplete grade. This is how all incomplete

grades must be initiated. Another significant component is the timeline for completion of   an incomplete grade for undergraduate students, which is 45 calendar days after the last day of classes. For graduate students, the deadline is the end of the third week of classes    of the following semester. See the full catalogue entry for considerations for students on academic probation and graduating students.

Deadlines for Adding, Dropping and Withdrawing from Courses

https://studentaffairs.jhu.edu/registrar/students/registration/

Students may add a course up to noon on February 2, 2024 (customized academic

learning, formerly called independent academic work, such as research maybe added until March 3, 2024). They may drop courses up until March 3, 2024 provided they remain

registered for a minimum of 12 credits. Between March 3, 2024 and April 12, 2024, a  student may withdraw from a course with a W on their academic record. A record of the course will remain on the academic record with a W appearing in the grade column to

indicate that the student registered and then withdrew from the course.

For more information on these and other academic policies, see

https://e-catalogue.jhu.edu/engineering/full-time-residential-programs/undergraduate- policies/academic-policies/grading-policies/