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.
STAT520: Spectral Analysis of Time Series (2020)
Check the Syllabus for detailed course plan.
Instructor: Fang Han (email@example.com)
Grader: Zhenman Yuan (firstname.lastname@example.org)
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