Error message
User error : Failed to connect to memcache server: druportbe01:11211 in dmemcache_object() (line 415 of /production/drupal/dim_prod/drupal/d7cl4/prod/unich/releases/7/web/sites/all/modules/contrib/memcache/dmemcache.inc ).
SOCIO-ECONOMIC STATISTICAL MODELS Single discipline educational activity
Course Sheet Academic Year of enrolment:
Professor and Collaborators:
Hours of classroom activity:
Prerequisites:
A basic statistics course
Objectives
Contents The course aims to provide the necessary skills for the collection and analysis of socio-economic-demographic data. The results of the analyzes are aimed at informing, controlling and forecasting the complex socio-economic phenomena, constituting a valuable support for decisions in both economic and social policy.
Extended Syllabus 1 historical series data
1.1 Purpose
1.2 Time series
1.3 R language
1.4 Graphs, trends and seasonal variations
1.4.1 Departure on the flight: reservations for air passengers
1.4.2 Unemployment: Maine
1.4.3 Multiple time series: data on electricity, beer and chocolate
1.4.4 Quarterly exchange rate: from GBP to NZ $
1.4.5 Global temperature series
1.5 Standard decomposition
1.5.1 Notation
1.5.2 Models
1.5.3 Estimation of seasonal trends and effects
1.5.5 Decomposition in R
1.6 Summary of the commands used in the examples
2 correlation
2.1 Purpose
2.2 Expectation and together
2.2.1 Expected value
2.2.2 The set and the stationarity
2.2.4 Variance function
2.2.5 Autocorrelation
2.3 The correlogram
2.3.1 General discussion
2.3.2 Example based on series of air passengers
2.4 Covariance of sums of random variables
2.5 Summary of the commands used in the examples
3 forecasting strategies
3.1 Purpose
3.4.1 Exponential leveling
4 basic stochastic models
4.1 Purpose
4.2 White noise
4.2.1 Introduction
4.2.2 Definition
4.2.3 Simulation in R
4.2.4 Second order properties and the correlogram
4.2.5 Adaptation of a white noise model
4.3 Casual walks
4.3.1 Introduction
4.3.2 Definition
4.3.3 The backward shift operator
4.3.4 Random walk: second order property
4.3.5 Derivation of second order properties *
4.3.7 Simulation
4.5 Autoregressive models
4.5.1 Definition
4.5.2 Stationary and non-stationary AR processes
4.5.3 Second order properties of an AR model (1)
4.5.5 Correlogram of an AR process (1)
4.5.6 partial autocorrelation
4.5.7 Simulation
4.6 Mounted models
4.6.1 Model mounted on simulated series
4.6.2 Exchange rate series: AR model fitted
4.6.3 Global temperature series: mounted AR model
4.7 Summary of commands R
5 regression
5.1 Purpose
5.2 Linear models
5.2.1 Definition
5.2.2 Stationarity
5.2.3 Simulation
5.3 Mounted models
5.3.1 Model adapted to simulated data
5.3.2 Model adapted to the temperature series (1970-2005)
5.3.3 Autocorrelation and estimation of sample statistics *
5.4 Generalized minimum squares
5.4.1 GLS suitable for the simulated series
5.4.2 Confidence interval for the temperature trend
5.5 Linear models with seasonal variables
5.5.1 Introduction
5.5.2 Variables of the additive seasonal indicator
5.5.3 Example: seasonal model for temperature series
5.6 Seasonal harmonic models
5.6.1 Simulation
5.6.2 Suitable for simulated series
5.6.3 Harmonic model adapted to the temperature series (1970-2005)
5.7 Logarithmic transformations
5.7.1 Introduction
5.7.2 Example using the series of air passengers
5.8 Non-linear models
5.8.1 Introduction
5.8.2 Example of a simulated and adapted nonlinear series
5.9 Forecast from regression
5.9.1 Introduction
5.9.2 Prediction in R
5.10 Reverse transformation and diagonal correction
5.10.1 Normal residual errors in the register
5.10.2 Empirical correction factor for the means of forecasting
5.10.3 Example using air passenger data
5.11 Summary of commands R
6 stationary models
6.1 Purpose
6.2 Strictly fixed series
6.3 Average mobile models
6.3.1 Process MA (q): definition and properties
6.3.2 Examples R: Correlogram and simulation
6.4 MA models fitted
6.4.1 Model mounted on simulated series
6.4.2 Exchange rate series: MA model fitted
6.5 Mixed models: the ARMA process
6.5.1 Definition
6.6 ARMA models: empirical analysis
6.6.1 Simulation and adaptation
6.6.2 Exchange rate series
6.6.4 Data from the wave tank
6.7 Summary of commands R
Recommended Bibliography Introductory time series with r
di Paul S.P. Cowpertwait, Andrew V. Metcalfe (2009) Springer-verlag New York Inc.
Methods of Provision
Teaching Methods The course includes 54 hours of lessons divided into 3 weekly lessons of 2 hours.
The course will be organized in modules whose lessons will focus mainly on the use of the following teaching methods: classroom lectures, exercises and analysis of case studies carried out in the multimedia classroom using the R software. Attendance is strongly recommended.
Evaluation methods Verification of learning:
The assessment of the level of learning will be carried out with the use of a practical test in R and a subsequent oral test. The practical test is divided into exercises concerning the estimation of parameters of interest of the population through the use of sample data, the implementation of control charts and offline quality control methods (ANOVA analysis) and output processing for the estimation of multiple linear regression models. This test lasts about 15 minutes and represents 50% of the overall evaluation (expressed in thirtieths) articulated in relation to the educational objectives to be evaluated.
The oral exam (50% of the overall assessment) is aimed at probing the learner on the one hand the communication skills, on the mastery of the language (not only the specific technical one of the reference subject) and on the clarity of the exposition, on the other hand the interpretation skills of the main analysis outputs studied in the course coming from the software R.
The examination procedures are the same for attending and non-attending students.
Contacts/More Information All information regarding the course, the lecture notes, support materials and exercises and all communications will take place through the e-learning page