D.S.G. Pollock

Queen Mary and Westfield College,

The University of London


This file contains facsimiles of the transparencies and handouts used in "A Short Course in Time Series Analysis" which has been taught in the Deutche Bank AG (London) and in the Institut D'Educacio Continua (IDEC) of the Universitat Pompeu Fabra in Barcelona, Spain.


1 LECTURE 1: Metaphors for Time-Series Analysis

2 LECTURE 2: Models and Methods of Time-Series Analysis

3 LECTURE 3: Fourier Methods: the Periodogram and the Spectrum

4 LECTURE 4: Autoregressive and Moving-Average Processes

5 LECTURE 5: Identification of Linear Times-Series Models

6 LECTURE 6: Forecasting with ARMA Models

7 LECTURE 7: Conditional Expectation and the Kalman Filter etc.

8 LECTURE 8: Multivariate Processes