2023 Fall Semester
STAT 4681: Introduction to Time Series Analysis

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• Instructor: Dr. Jong-Min Kim
• Office : 2380 Science, Phone: 589-6341 
• Time and Location: Online Class
• Office hours: 11:30 AM -12:30 PM Tu,Th, or by appointment.
• e-mail: jongmink@umn.edu
• Prerequisite: STAT 1601.

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To download Adobe Acrobat Reader (enables you to view .pdf files), see here.

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Handout:

Section 001 (Online Class)

Canvas Website for Section 001

Software:

• Download R Program
• Example r script for Google Stock Data

Data:

• Google Stock Data
• Johnson & Johnson Stock Data
• Rain Data
• TSA with Applications in R. This website is managed by Professor Kung-Sik Chan.

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Time Series Websites:

• Time Series Data Library. This is a comprehensive collection of time series data sets.
• Yahoo Download YouTube. This is YouTube for How To Download Stock Data From Yahoo.
• R Scripts and Data. R Scripts and Data for Time Series Analysis with Applications in R by Jonathan D. Cryer and Kung-Sik Chan.
• Shumway and Stoffer. This is a website created for Time Series Analysis and its Applications (with R Examples) by Shumway and Stoffer.
• Rob J Hyndman. This is a website created for Forecasting books byRob J Hyundman.
• UNL STAT 892: Time Series Analysis. This is a website created by Dr. Christopher R. Bilder at University of Nebraska.
• STAT 520: FORECASTING AND TIME SERIES: This is a website created by Dr. Joshua M. Tebbs at University of South Carolina.
• STAT 510: Applied Time Series Analysis: This is Penn State University Online Course Website for Applied Time Series Analysis.
• STAT 248: Time Series Analysis: This is a website created by Dr. Gido van de Ven at University of California.
• Economics 584: Time Series Econometrics: This is a website created by Dr. Eric Zivot at University of Washington.

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Useful Websites for Time Series Data Analysis:

• R FUNCTIONS FOR TIME SERIES ANALYSIS.
• R Time Series Tutorial.
• Time Series in R.
• Introduction to ts.
• Stationarity.
• Augmented DickeyFuller Test.
• Lagged Differences.
• Linear Filtering on a Time Series.
• Fit ARMA Models to Time Series.
• Simulate from an ARIMA Model.
• ARIMA Modelling of Time Series.
• Introduction to ARIMA modeling in R (YouTube).
• Fit Autoregressive Models to Time Series.
• The ARIMAX model muddle.
• R Package tseries.
• R Package TSA.
• CRAN Task View: Empirical Finance.
• Autoregressive conditional heteroskedasticity Wiki.
• rgarch package.
• rugarch package.
• fgarch package.
• GARCH.
• Volatility by GARCH (1,1) Youtube.
• GARCH and EWMA.
• rgarch model details in R.
• Garch model examples in R.
• Structural Time Series in R.
• State-Space Models.
• State Space Models using R.
• State Space Models in R.
• Kalman Filter.
• Kalman Filtering in R.
• Introduction to Time Series.
• astsa package.
• PerformanceAnalytics:Econometric tools for performance and risk analysis.
• Time-Series Regression and Generalized Least Squares.
• Applied Time Series Analysis for Fisheries and Environmental Sciences.

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jongmink@morris.umn.edu 

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