Schedule and Textbooks Information

Fall 2022 Schedule and Textbook Information for STAT 420

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STAT 420 - Textbook(s) for Fall 2022

CRN	Title	Author	ISBN	Version	Req/Opt
ALL	Time Series Analysis and Its Applications	Robert H. Shumway,David S. Stoffer	9783319524528	4th	Y

STAT 420 - Schedule information for Fall 2022

CRN	Section	Instructor	Day	Time	Room
26286	002	Raghu Pasupathy	MWF	3:30-4:20pm	UNIV 303
58423	001	Raghu Pasupathy	MWF	4:30-5:20pm	UNIV 303

STAT 420 - Course Outline

Topics

1. Introduction. Examples of Time Series. Deterministic, Stochastic, and Chaotic Processes. Stationary Processes.
2. Linear Time Series Models. Autoregressive (AR), Moving Average (MA), ARMA Models.
3. Estimation, Data Analysis, and Forecasting with ARMA Models.
4. Resampling Methods for Confidence Intervals.
5. Nonstationary and Seasonal Time series. Modeling and Forecasting with ARIMA Models.
6. Multivariate Time Series Modeling. State-Space Models and the Kalman Filter.
7. Nonlinear Time Series Models. ARCH and CARCH Models.
8. Spectral Analysis.
9. Smoothing in Time Series