36-728: Applied Time Series, Spring 2011

TTh 1:30-2:50 in Wean Hall 5310

Valerie Ventura
Department of Statistics
Carnegie Mellon University
(412) 268-4249

Instructor Office Hours:
Tuesdays 4-5pm and by appointments. Please allow 24 hours notice for appointments. Questions by email are welcome.
Location: 229E Baker Hall

Teaching Assistant:
Anne-Sophie Charest
Office Hours: Wednesdays 12:30pm - 2:00pm, and by appointment. Please allow 24 hours notice for appointments; no appointments on Thurdays.
Location: FMS 320

FINAL FOR 36728 TIME SERIES ANALYSIS: The final exam is HERE. Start time is 3pm Monday May 2 2011. It is due in my office or by email at 6pm the same day.

Syllabus and timeline of topics

  • Syllabus (pdf)
  • Timeline


  • Homework 1 due Th march 24 2011
  • Homework 2 due Th march 31 2011
  • Homework 3 and Homework 3 solutions Typos (1) in 6.36(d): ARMA(12 with phi_2 to phi_9 = 0; MA order 9,7,or 5) (2) In 5.1 (c), \theta_2=-0.25 and so the MA characteristic polynomial is 1-0.5x+0.25x2
  • Homework 4