Math/APPM 4540/5540 - Intro to Time Series Analysis - Spring 2015


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

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

Text: Lecture notes: (previous version is here:; 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.