**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 2-2:50 p.m.

**Lectures:** MWF 3-3:50 p.m. in ECCR 151

**Text: Lecture Notes**: http://euclid.colorado.edu/~sek/4540-15.pdf** (updated 2/7/15, more typos fixed)**

**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 required. You may use any
software like Excel, Matlab, Mathematica,
Maple or similar where you design the algorithm (so you may not use specialized
statistical software like R and so on). 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 while the others are only 2 problems long. Expect about 60-65 theoretical
and 15-20 numerical problems overall.

**Late Homework Policy:** 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. * The extension will be granted only *twice* during the semester (the class is
way too big). No homework will be accepted if it is more than one week late or
if solutions are already posted.

**Examinations:** There will be a take home Final.

**Grading policy:** Homework 70%, Final 30%

**5540 students: **Students enrolled
in Math/APPM 5540, will have to do extra “in-depth” homework
problems (expect 20 to 25 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).