Time Series Analysis and Stochastic Processes
Title  Time Series Analysis and Stochastic Processes (58020) 

Quarter  Spring 2020 
Instructor  Andrew Siegel (siegela@uchicago.edu) 
Website  
Syllabus  Stochastic processes are driven by random events. They can be used to model phenomena in a broad range of disciplines, including science/engineering (e.g. computational physics, chemistry, and biology), busi ness/finance (e.g. investment models and operations research), and computer systems (e.g. client/server workloads and resilience modeling). In many cases relatively simple stochastic simulations can provide estimates for problems that are difficult or impossible to model with closedform equations. In this class we focus on the rudimentary ideas and techniques that underlie stochastic time series analysis, discrete events modeling, and Monte Carlo simulations. Course lectures will focus on the basic principles of probability theory, their efficient implementation on modern computers, and examples of their application to real world problems. Upon completion of the course, students should have an adequate background to quickly learn in depth specific Monte Carlo approaches in their chosen field of interest.
Syllabus
Coursework 4 homework assignments (50%), 6 short quizzes (20%), two exams (30%).Prequisites Courses: Required: Immersion programming or waiver. Recommended: Immersion math, basic back ground in probability. Langagues: Matlab will be used for course examples. Matlab, Julia, IDL, or Python are recommended for assignments. Any language is acceptable as long as you do not use highlevel libraries to replace programming exercises. 
Prerequisites (Courses)  Core Programming, Recommended: Immersion Math or passing score on math placement exam. 
Prerequisites (Other)  NonMPCS students need to complete a course request form. 
Satisfies  Elective

Time  Monday 5:308:30PM 
Location  JCL 011 