STAT8002 Applied Time Series Analysis
| Offered By | School of Finance and Applied Statistics |
|---|---|
| Academic Career | Graduate Coursework |
| Course Subject | Statistics |
| Offered in | First Semester, 2009 and First Semester, 2010 |
| Unit Value | 6 units |
| Course Description |
Emphasis of this course is on the application of time series methods to a variety of different types of data. Time series modelling techniques will be considered with particular reference to their use in forecasting. While linear models will be examined in some detail, extensions to non-linear models will also be considered. The latter part of the course will consider a number of case studies where the analysis of data sets from consulting and other situations will be discussed. Basic Concepts: Deterministic Models: Linear Time Series Models; Homogeneous Non-stationary Models; The Spectral Approach; The Box-Jenkins Approach; Extensions - Transfer Function Models; Intervention Models, Non-Linear Models, Recent Developments: Case Studies. |
| Learning Outcomes | Detailed understanding of time series modelling techniques. Topics include: forecasting; linear and non-linear models; case studies where the analysis of data sets from consulting and other situations. |
| Indicative Assessment |
Two major assignments which will count for a minimum of 30% (and a maximum of 40%) of the final mark, with a final examination counting for a maximum of 70%. |
| Workload | 10 hrs / wk |
| Course Classification(s) | AdvancedAdvanced courses are designed for students having reached 'first degree' level of assumed knowledge, which provide a deep understanding of contemporary issues; or 'second degree' and higher levels of knowledge; or for transition to research training programs. |
| Areas of Interest | Actuarial Studies, Finance, and Statistics |
| Eligibility | At least an average of 65% (or equivalent) in the final two years of an Australian undergraduate degree with at least two years of university level statistical and mathematical study including calculus and linear algebra, as well as mathematical statistics and linear regression theory. |
| Prescribed Texts |
See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT8002.pdf |
| Preliminary Reading |
See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT8002.pdf
|
| Programs | Graduate Certificate in Actuarial Studies and Master of Applied Statistics |
| Other Information |
For further information please refer to http://ecocomm.anu.edu.au/courses/course.asp?code=STAT8002 |
| Academic Contact | Seehttp://ecocomm.anu.edu.au/courses/course.asp?code=STAT8002 |
The information published on the Study at ANU 2009 website applies to the 2009 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2008 website.
