August 18, 2022

This course provides a broad and systematic introduction to time series models and their applications to modeling and prediction. It utilizes real-world examples to apply a variety of time series models and methods. After successful completion of this course, students will be able to work with stationarity and measures of dependency, time series regression, graphical analysis, trend and seasonality detection and removal, and moving-average filtering. Students will also be able to apply linear time series analysis, spectral analysis, and multivariate time series methods. Additional topics that will be covered include long-memory processes, unit root testing, volatility modeling, state space models and Kalman filtering.