Time Series: Fundamentals and Models

This lecture by the instructor covers the fundamentals of time series analysis, including the data structure of time series, simple techniques, linear processes, spectral representations, forecasting, and more. It delves into topics such as integrated and seasonal models, correlation, model choice, long memory, financial time series, and Kalman filtering. The lecture emphasizes the importance of stationarity in time series analysis, explaining weak and strong stationarity, autocovariance functions, and the properties of stationary processes. Practical aspects, such as the course structure, resources, and exam details, are also discussed.