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

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

**Text: Lecture Notes**: http://euclid.colorado.edu/~sek/4540-19.pdf** **

**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.

**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).