Spring 2021 STAT 30810

Course: STAT 30810

Title: High Dimensional Time Series Analysis

Instructor(s): Wei Biao Wu

Teaching Assistant(s): TBD

Class Schedule: Section 1: MWF 9:10 AM-10:00 AM (Remote)

Description: This course will include lectures on the following topics: review of asymptotics for low dimensional time series analysis (linear and nonlinear processes; nonparametric methods; spectral and time domain approaches); covariance, precision, and spectral density matrix estimation for high dimensional time series; factor models; estimation of high dimensional vector autoregressive processes; prediction; and high dimensional central limit theorems under dependence.