Stationary processes, ensemble, random walk Vs trend, periodicity, linear process; Estimators mean, ACF, PACF, variogram; Properties covariance, normality; Regression, models for trend, differencing, backshift operator; Harmonic regression, periodogram, signal processing; Nonparametric regression, smoothing, periodic functions; Model selection, AIC, BIC, SIC, bias-variance trade-off; ARMA models; Estimation, MLE, LS, forward-backward; State-space models, Kalman filter, hidden state, HMM, Switching models, hidden Markov models (HMM), GARCH, stochastic volatility, financial models; Heteroscedasticity, Wavelets, Vector Autoregressive (VAR) Models, Integrated Variables and Cointegrated VAR Models, Time-varying parameter and Bayesian VARs, Multivariate GARCH models.