**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: TBA

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

**Text:** **Lecture notes: **(previous
version is here: http://euclid.colorado.edu/~sek/4540-13.pdf;
an updated version will be posted around January 10)

**Topics to be covered:** Chapters 1-7 of
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 can use any software like Excel, Matlab, Mathematica, Maple or
similar where you design the algorithm (so you can’t 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 55 theoretical and
15 numerical problems overall. 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 overall score.

**Late Homework Policy:** No penalty if you ask for extra time in person
or by e-mail *before* *the due date* or if you have a *documented excuse*. Otherwise, late
homework is accepted for half credit for one week after the due date. No
homework will be accepted if it is more than one week late.

**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 15 to 20 extra problems). They will have extra
“in-depth” problems on the final as well.