Instructor: Richard A. Lockhart

Office: TLX 10561 Phone: 3264 e-mail: lockhart@sfu.ca
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.

2004-01-11