| STA 356 | Schedule | Support |
| When | Topics | Material | Work |
| Aug 31: | Introduction, overview. Reading and computing assignments discuss projects | V7 slides, AIstats slides CH3 W&H, 214 Notes | Job #1 |
| Sep 07: | Discussion | Worked examples, questions | tba |
| Sep 14: | General DLMs & Theory | CH4: 4.1-4.4 CH5: 5.1-5.2.3; 5.3,4 CH6: 6.1,2 | Job #2 |
| Sep 21: | AR, ARMA, TVAR models
& more on decompositions |
214 Notes-CH12/p55+: eg AR(2) CH 9.4, 9.5, 9.6 of W&H V7 tutorial slides 21-38 AR/TVAR decomp code, examples AR+noise; AR/MA inversions - Prado/West 2.18 | Job #3 |
| Sep 28: | Trend, Seasonal DLMs Seasonal models & Fourier models Example: trend+seasonal Intro to mixture models | CH7:7.2; CH8: 8.2-8.4, 8.6 CH10: 10.2 Elements of CH12 | Job #4 |
| Oct 05: | Simulation-based analysis and model fitting MCMC, particle filtering | Basics and SV model example
Slides on Liu & West 2000 | projects |
| Oct 12: | Project outlines and discussion Additional topics (simulation, mixtures) if time permits | details | projects |
| Oct 19: | In-class working project discussions | tba | projects |
| Oct 26: | Project progress report - class presentation & discussion | - | projects |
| Nov 02: | In-class working project discussions | - | projects |
| Nov 09: | Aspects of multivariate modelling, time series decompositions, & other topics (dynamic variances, ...) |
Slides: EEG, TVAR, Multiple/spatial series Slides: Multivariate factor, volatility and shrinkage models in finance | projects |
| Nov 16: | Project progress report - class presentation & discussion | - | projects |
| Nov 23: | No class- Thanksgiving | - | projects |
| Nov 30: | In-class working project discussions | - | projects |
| Dec 07: 11:40-later | Final project presentations | - | - |