Instructor/Coordinator: Prof. Raquel Prado 

Spring 2016 Theme: Advanced topics in time series analysis

Summary: We will be reading and discussing a number of papers in the following topics:

• Bayesian models for multivariate time series 
• Variable selection and sparsity in time series models
• Sequential Monte Carlo 
• New software

Pre-reqs: There are no formal pre-requisites for this seminar, however, most of the papers that will be discussed assume that you have taken AMS-223 (Time Series). 

Time and location: Monday 10:30am-noon in BE-358. 

Meetings:

Week 1, April 4: Review. Introduction and assignment of papers/reading material. 

Week 2, April 11: Discussion 1

Week 3, April 18: No class, you need to attend the workshop. 

Week 4, April 25: Discussion 2

Week 5, May 2: Discussion 3

Week 6, May 9: Discussion 4

Week 7, May 16: Discussion 5

Week 8, May 23: Discussion 6

Week 9, May 30: No class, Memorial Day.