STAT 520 Time Series Analysis and Applications
Tu and Thur 11:30-12:30 Rec 113Instructor: Professor Hao Zhang
Office Hours:Tuesday, 9-10:30, MATH 536 and by appointment.
Description: This course introduces fundamental concepts and some common models for time series data. Topics include stationarity, autocovariance function and spectrum; integral representation of a stationary time series and interpretation; ARMA, ARIMA and GARCH models; estimation and forcasting; multivariate time series; using R for the analysis of time series; and applications of time series.
- Jonathan D. Cryer and Kung-Sik Chan (2008) Time Series Analysis with Applications in R (2nd ed), Springer
- Final exam will be on Wed 5/4, 3:20-5:20 in ME 261. You can check the final exam schedule at https://roomschedule.mypurdue.purdue.edu/Timetabling/exams.do