Course: STAT 30815
Title: Asymptotic Theory for Time Series Analysis and Stochastic Approximation Algorithms
Instructor: Wei Biao Wu
Class Schedule: Sec 1: MW 9:00 AM–10:20 AM in Jones 226
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, and asymptotic theory for stochastic gradient descent algorithms.