Math/Stat 4540/5540 - Intro to Time Series Analysis - Spring 2019



Instructor: Sergei Kuznetsov, Math 318, Phone: 2-4579 (don’t leave messages, send an e-mail instead), e-mail:, Office Hours: MWF 11-12

Lectures: MWF 10-10:50 a.m. in ECCR 1B51

Text: Lecture Notes:

Topics to be covered: Chapters 1-7 from the notes. That includes basic properties, trend-based models, seasonal models, stationary series, ARMA and ARIMA models, spectral analysis, estimation of the power spectrum and cross-spectrum, frequency filtration, and forecasting with time series models.

Prerequisites: Intro to Probability + Intro to Statistics (Math 4510/4520 or equivalent). [Things like Calculus 1-2-3 go without saying]. We also need: (a) some Linear Algebra, like matrices and matrix multiplication, inverse matrices, determinants, and (b) some Complex Numbers (check out Appendix C in the notes).

Homework: There will be weekly assignments. Homework will include theoretical problems as well as numerical examples (data sets for them will be posted on the web). Some data sets are several hundred points long, so some computer skills are required. You may use any software like Excel, Matlab, Mathematica, Maple or similar as long as you design the algorithm. As a rule, numerical problems can be easily done in Excel. For numerical problems, please attach the code to the homework.

Warning: Homework assignments are not of the same size, some of them may be 10 problems long (50 points) while the others are only 2 problems long (only 10 points). As a rule, each problem is worth 5 points (some big numerical problems may be 10 points problems). Expect about 65-70 problems out of which 15-20 are numerical. All problems will be graded; solutions will be posted on the web. Don’t skip assignments, especially big ones! Skipping a big one could cost you up to 10 % of the course score.

Late Homework Policy: No homework will be accepted if it is more than one week late or if solutions are already posted (no exceptions). Other than that, no penalty if you have a documented excuse. Also, you may ask for an extension either in person or by e-mail before the due date.  

Examinations: There will be a take home Final.                    

Grading policy: Homework 70%, Final 30%

5540 students: Students enrolled in Math/Stat 5540, will have to do extra “in-depth” homework problems (expect up to 20 extra problems). They will have extra “in-depth” problems on the final as well.

Just in case, more reading: Chris Chatfield, The Analysis of Time Series, An Introduction, Chapman & Hall, 5th edition (very good, however skips some important details); Peter Brockwell and Richard Davis, Introduction to Time Series and Forecasting, Springer, 2nd edition (graduate level text, focuses on math models and like); M.B.Priestley, Spectral Analysis and Time Series, Academic Press (out of print since '96 or so; very good, balanced and very detailed graduate level text, 900+ pages long).