Course: STAT 30810
Title: High Dimensional Time Series Analysis
Instructor: Jiaqi Li
Class Schedule: Sec 1: TR 11:00 AM–12:20 PM in TBA
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.