STAT520: Spectral Analysis of Time Series (2020)

This is a 10-week course focused on introducing time series analysis from the frequency domain (a.k.a. spectral analysis of time series). We start from the motiviation and discussion between time- and frequency-domain analysis, moving on to the mathematical foundation of stationary process analysis convoluted with Fourier theory. We will end this course with an introduction to spectral estimators from both nonparametric and parametric angles.

Check the Syllabus for detailed course plan.

Instructor: Fang Han (fanghan@uw.edu)

Grader: Zhenman Yuan (yzhenman@uw.edu)

Lectures: MWF 4:30-5:40, in Zoom

Office hours: Wed 3:30-4:30, in Zoom

Midterm: Apr. 27 and May. 27, in-class

Final project: due on Jun. 05, 2PM

Homework assigments:

HW1

HW2

HW3

HW4

HW5

HW6

HW7

HW8