The course intends to meet two goals. It provides tools for empirical work with time series data and is an introduction into the theoretical foundation of time series models. Much of statistical methodology is concerned with models in which the observations are assumed to be independent. However, many data sets occur in the form of time series where observations are dependent. In this course, we will concentrate on univariate time series analysis, with a balance between theory and applications. In order to emphasize application of theory to real (or simulated) data, we will use R.