Wednesday, February 6, 2013

Week 5: Applied Time-Series Analysis for Fisheries and Environmental Data

Class material: webpage

Week 5: Introduction to multivariate autoregressive state-space models
Lecture topics:
  • Review of dealing with obs error with ARIMA (from last week)
  • Multivariate state space models
  • How these are expressed mathematically
  • Analysis of multi-site data using this framework
  • Parameter estimation: Kalman filter, Newton methods and EM algorithm
Lab topic:
The main lab is to go through case study 2 in the MARSS User Guide. I have a Fish 507 specific version of the case study code on the course website with questions to answer as you go through. Case study 3 and 8 are optional but going through them will help solidify your understanding of multivariate state-space models. Do go through the ARMA code as it discusses some important points about the effects of data transformation (in this case differences) on the time-series model that is appropriate for the data.

Lecture 5
Click the big arrow to start the show. You can also find just a pdf of lecture 5 on the class webpage.

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