Indiana University Bloomington

Mathematics M568
Time Series Analysis

Contact: Richard Bradley ( October 2012
Capacity: Never been a problem for this course.
Sequence: No. It is a one-semester course.
Pre-Requisites: MATH M466 or STAT S420 or consent of instructor. The main prerequisite is a sound familiarity, at the undergraduate level, with basic real analysis, probability,and statistics, and the elementary properties of complex numbers (up to and including the form exp(it) = (cos t) + i(sin t) ).
Algebra Required: Used for notations. Used in homework
Calculus Required: Used for concepts. Used in homework.
Contact Person for Authorization: None.
Instructor: Richard Bradley
Days Per Week Offered: Three lectures per week
Syllabus: No Syllabus Avaliable
Keywords: The analysis of dependent data ordered in time.
Description: This course provides an introduction to the theory and practice of Time Series Analysis, the field of Statistics involved with the analysis of dependent data that are ordered in time. This course gives approximately equal weight to ``time domain'' analysis and ``frequency (spectral) domain'' analysis. It deals primarily with the usual discrete-time univariate time series, but bivariate and continuous-time processes are treated briefly.
Books: The main text is C. Chatfield, The Analysis of Time Series: An Introduction. Supplementary sources: G.E.P. Box and G.M. Jenkins, Time Series Analysis: Forecasting and Control; P. Bloomfield, Fourier Analysis of Time Series, An Introduction; and P.J. Brockwell and R.A. Davis, Time Series: Theory and Methods.
Substantive Orientation: Time Series Analysis is used in numerous fields, including Economics, Engineering, Astronomy, Geology, among others.
Statistical Orientation: Frequentist
Applied/Theoretical: Slightly more theoretical than applied
How Software is Used: Data analysis
Problem Sets: Six written problem sets
Data Analysis: Three computer assignments
Presentation: None
Exams: A Final Exam