Structure of the lectures and project groups is to be confirmed, depending on the Omicron situation. Course components will include:
Instructor contact information:
GSI: Gang Qiao
Computing support. If you have a coding problem you cannot debug, it is often helpful to develop a minimal reproducible example that others can run to help you. You can share this, and the error message you obtain, with your group and/or on Piazza, or by email if necessary.
Course notes and lectures are posted at https://ionides.github.io/531w22/ with source files available at https://github.com/ionides/531w22
Supplementary textbook: R. Shumway and D. Stoffer Time Series Analysis and its Applications, 4th edition (2017). A pdf is available using the UM Library’s Springer subscription.
Recommended pre-requisites:
Theoretical and applied statistics. STATS 500 and prior or concurrent enrollment in STATS 511, or equivalent. STATS 413 and STATS 426 is sufficient in conjunction with a strong math and computing background. For review, see “Mathematical Statistics and Data Analysis” by J. A. Rice.
Linear algebra. A certain amount of basic linear algebra will be required. For review, see www.sosmath.com/matrix/matrix.html.
Statistical computing background:
Introduction to time series analysis.
Time series models: Estimating trend and autocovariance.
Stationarity, white noise, and some basic time series models.
Linear time series models and the algebra of autoregressive moving average (ARMA) models.
Parameter estimation and model identification for ARMA models.
Extending the ARMA model: Seasonality and trend.
Introduction to the frequency domain.
Smoothing in the time and frequency domains.
Case study: An association between unemployment and mortality?
Introduction to partially observed Markov process (POMP) models.
Introduction to simulation-based inference for epidemiological dynamics via the pomp R package.
Simulation of stochastic dynamic models.
Likelihood for POMP models: Theory and practice.
Likelihood maximization for POMP models.
A case study of polio including covariates, seasonality & over-dispersion.
A case study of financial volatility and a POMP model with observations driving latent dynamics.
Groups for the midterm project will be randomly assigned, around the third weak of classes.
Groups for the final project will be re-randomized after the midterm project.
Careful attribution of sources is fundamental to good scholarship. Also, complete attribution facilitates meaningful grading given the reality of abundant online materials and online collaboration. The grader will look for demonstrated effort in submitted homework, with contributions that go beyond the sources, following the posted rubric.
Each homework will have a question asking about sources. You will be asked to explain which parts of your responses above made use of a source, meaning anything or anyone you consulted (including classmates or office hours or any website you visited) to help you write or check your answers. All sources are permitted. Every source must be documented. Full credit requires being explicit about which parts you did without any collaboration or other source, as well as being explicit about which parts used or did not use each listed source.
Reference any web page you look at in connection with a homework or project, and to acknowledge any person you talk to in connection with a homework or project, including people in your own group or discussions in office hours.
If you look at a web page while working on your homework solutions, or while checking your homework solutions, add the URL to your source section.
The grader will look for an explicit statement saying that the listed sources and only those sources were consulted.
Directly copied text must be in quotation marks. Directly copied equations must be explicitly referenced to the source. Adapted or paraphrased material take from a source should be referenced.
It is expected that you will consult the notes and the course Piazza site. However, putting explicit references (e.g., 531 class notes, slide 10 of chapter 3) is still appropriate as documentation of your sources.
The reader should not have to carry out detective work to figure out correctly which parts of the homework are attributable to a source. Specific references to a page of the notes, or material on a previous course web page, or a page of the textbook, or a Stack Overflow page, can help with this. If the reader cannot readily tell what part of the homework is attributable to each source, that is a defect in the scholarship.
The midterm and final project will also have a substantial grading component allocated to clear and scholarly assignment of credit to sources.
In group work, you are responsible for checking that the sources of your collaborators are properly documented. The whole group must take responsibility for material that the group submits.
University of Michigan is committed to advancing the mental health and wellbeing of its students. If you or someone you know is feeling overwhelmed, depressed, and/or in need of support, services are available. For help, contact Counseling and Psychological Services (CAPS) at 734.764.8312 and https://caps.umich.edu during and after hours, on weekends and holidays. You may also consult University Health Service (UHS) at 734.764.8320 and https://www.uhs.umich.edu/mentalhealthsvcs.
Many people have contributed to the development of this course, including all former students and instructors. See the acknowlegements page for further details.