Lecture notes 
Topics 
Corresponding section(s) of Brockwell and Davis (2002) book 
Lec_01.pdf 
Stationarity, strict stationarity, autocovariance function 
1.11.4, 2.4 
Lec_02.pdf 
Detrending and deseasonalizing time series data 
1.5 
Lec_03.pdf 
Asymptotic results for linear processes 
2.1, 2.2 
Lec_04.pdf 
Forecasting with DurbinLevinson and innovations algorithms 
2.5 
Lec_05.pdf 
ARMA processes 
2.3, 3.1, 3.2 
Lec_06.pdf 
Estimation for ARMA processes 
5.1, 5.2 
Lec_07.pdf R code 
Spectral analysis of time series 
4.14.4 
Lec_08.pdf 
Testing for white noise, goodness of fit for ARMA models 
1.6, 5.3 
Lec_09.pdf 
ARIMA model, DickeyFuller unit root test, SARIMA model 
6.16.5 
Lec_10.pdf 
Multivariate time series 
7.17.4 
Lec_11.pdf R code 
Intro to block bootstrapping for time series 
