Teaching

Fall 2020: STAT429. Time Series Analysis.

This course will be online and asynchronous.

There will be no fixed meeting times. I will weekly upload lecture videos and notes to Compass 2g. Students can view the course materials at their own best times.

Topics to be covered.

  • Linear time series: autoregressive (AR), moving-average (MA), ARMA, conditional heteroscedastic models (ARCH, GARCH).
  • Nonlinear time series: threshold AR, Markov switching models, functional coefficient AR models, state-space models.
  • Continuous-time models: stochastic differential equations, Itoˆ’s lemma, diffusion and jump-diffusion models.
  • Multiple time series: vector linear time series (VAR, VMA), co-integration, principal component analysis, factor models.
  • High-dimensional times series: covariance matrix estimation, change points detection and estimation.

 

Fall 2020: STAT578. Topics in Statistics: Geometric Flows.

The class meetings are held online via Zoom.
Lecture videos and notes are recorded and uploaded on Compass 2g.

 

Past courses:
Spring 2019: STAT510. Mathematical Statistics I
Fall 2018: STAT510. Mathematical Statistics I
Fall 2018: STAT400 / MATH463. Statistics and Probability I
Fall 2017: STAT510. Mathematical Statistics I
Spring 2017: STAT575 / ECON578. Large Sample Theory
Spring 2017: STAT400 / MATH463. Statistics and Probability I
Spring 2016: STAT575 / ECON578. Large Sample Theory
Spring 2016: STAT400 / MATH463. Statistics and Probability I
Fall 2015: STAT553. Probability and Measure I
Spring 2015: STAT578. Topics in Statistics: High-Dimensional Probability and Statistics
Fall 2014: STAT510. Mathematical Statistics I
Spring 2014: STAT400 / MATH463. Statistics and Probability I
Fall 2013: STAT400 / MATH463. Statistics and Probability I

University of Illinois List of Teachers Ranked as Excellent by Their Students:
Fall 2018 (STAT510)
Spring 2016 (STAT575)
Fall 2015 (STAT553, top 10%)