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Time Series Analysis


An introduction to time series analysis with an emphasis on mathematical understanding and its software implementation. Programming uses Python.


Introduction to Time Series and Forecasting, Brockwell and Davis, Springer, 3rd ed.

Credit Hours: 


  • Modeling time series, trend, seasonality and residual process
  • Autocovariance function, multivariate time series, moving average and autoregression
  • Stationary processes, linear processes, linear filtering
  • Confidence intervals for the mean and the autocorrelation, hypothesis tests for a time series model
  • ARMA models, partial autocorrelation function, parameter estimation methods, forecasting, model selection
  • Stationary processes in the frequency domain, spectral density, periodogram, smoothing, spectral window
  • Nonstationary time series, ARIMA models
  • State-space representation, Kalman recursions
  • Recurrent neural networks as time allows

(Talata 2021 )


Odd Spring Semesters Only

Events Calendar

Using Math

CTE course transformation grant helps Emily Witt, assistant professor of math, develop active learning with student groups in calculus.  Positive results using modules developed with Justin Lyle and Amanda Wilkens, math graduate students, were attained.  Read more

Math and COVID-19: Sources on how math is being used to track the virus and its spread.  AMS link.

A mathematician-musician's breakthrough melds East, West. Read more.

Researcher's innovative approach to flood mapping support emergency management and water officials. Read more.

Nicole Johnson found a way to express her baton twirling using math. See video.