The course introduces some fundamental concepts of time series, including strict stationarity and weak stationarity, and series correlation. Students will study some classical time series models, including autoregressive model, moving averages model and ARMA model, seasonal ARIMA models, multivariate time series models, and some new financial time series models, including ARCH and GARCH models. Students will also learn the forecasting techniques based on those time series models and build up time series models for real time series data in natural science, engineering and economics.