STAT519: Time Series Analysis (2022)

This is a 10-week course focused on introducing basic concepts of time-domain time series analysis. Materials to be covered include simple time series models, models for trend and seasonality, basic theory and application of ARMA processes, nonstationary models, and state-space models.

Check the Syllabus for detailed course plan.

Instructor: Fang Han (fanghan@uw.edu)

Lectures: MWF 2:30-3:20

Office hours: refer to the syllabus

Midterm exam: Feb. 09, in-class

Final presentation: Mar. 09 and 11, in-class

Lecture notes:

Lecture note 1

Lecture note 2

Lecture note 3

Lecture note 4

Lecture note 5

Lecture note 6

Lecture note 7

Lecture note 8

Lecture note 9

Lecture note 10

Lecture note 11

Lecture note 12

Lecture note 13

Lecture note 14

Lecture note 15

Lecture note 16

Lecture note 17

Homework assigments:

HW1

HW2

HW3

HW4