STAT 804
Time Series Analysis
Instructor: Richard A. Lockhart
Office: TLX 10546        Phone: 3264        Messages: 3331

WARNING: THIS OUTLINE IS NOT YET UPDATED. 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. I will actually lecture for 100 minutes then have open discussion.

Recommended Textbook:

I hope my notes together with references will be reasonably self-contained so that possession of the text not precisely necessary.

Other references

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.

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 R or S using the package on the stat Unix/Linux network. I will expect you to produce software in R or S; except for a few introductory comments in the first or second week I will expect you to learn this package on your own.

Richard Lockhart