This course will be a rigorous and extensive introduction to modern methods of time series analysis and dynamic modeling. Topics to be covered include elementary time series models, trend and seasonality, stationary processes, Hilbert space techniques, the spectral distribution function, autoregressive/integrated/moving average (ARIMA) processes, fitting ARIMA models, forecasting, spectral analysis, the periodogram, spectral estimation techniques, multivariate time series, linear systems and optimal control, state-space models, and Kalman filtering and prediction. Additional topics may be covered if time permits. Some applications will be provided to illustrate the usefulness of the techniques.
Graduate course in probability and statistics (such as 625.603 Statistical Methods and Data Analysis) and familiarity with matrix theory and linear algebra.
This course is also offered in the Department of Applied Mathematics and Statistics (Homewood campus).