This course is intended to survey both time-domain and frequency domain analysis of time series. I expect you all to be familiar with the basics of the multivariate normal distribution and complex arithmetic. I will develop Fourier methods briefly where necessary.
There will be 2 two hour lectures per week.
References and Text:
The text is:
Shumway, Robert H. & Stoffer, David S. (1988) Time Series Analysis and Its Applications. Springer-Verlag, New York.
I hope my notes together with references will be reasonably self-contained so that possession of the text is not necessary.
Other relevant texts:
Box, G. E. P. , Jenkins, G. M. and Reinsel, G. (1994) Time series analysis : forecasting and control , 3rd ed. Englewood Cliffs: Prentice Hall.
Brillinger, D. R. (1975) Time Series: Data Analysis and Theory. New York: Holt, Rinehart and Winston.
Brockwell, P. J. and Davis, R. A. (1991) Time Series: Theory and Methods, 2nd ed. New York: Springer-Verlag.
Chatfield, C. (2003) The analysis of time series : an introduction , 6th ed. Boca Raton, FL: Chapman and Hall.
Priestley, M. B. (1981) Spectral Analysis and Time Series. London: Academic Press.
Shumway, Robert H. (1988) Applied Statistical Time Series Analysis. Englewood Cliffs: Prentice Hall.
The course will be graded on the basis of assignments together with a take home final exam. You will do a good deal of computing in Splus or R using the package on the stat Unix network. I will expect you to produce software in S; except for an introductory session in the first or second week I will expect you to learn this package on your own.