• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Classification Advanced
  • Course subject Statistics
  • Areas of interest Actuarial Studies, Finance, Statistics
  • Academic career Postgraduate
  • Course convener
    • Dr Hanlin Shang
  • Mode of delivery In Person
  • Co-taught Course STAT4102
  • Offered in First Semester 2017
    See Future Offerings

This course considers statistical techniques to evaluate processes occurring through time. It introduces students to time series methods and the applications of these methods to different types of data in various contexts (such as actuarial studies, climatology, economics, finance, geography, meteorology, political science, risk management, and sociology). Time series modelling techniques will be considered with reference to their use in forecasting where suitable. While linear models will be examined in some detail, extensions to non-linear models will also be considered.

The topics will include: deterministic models; linear time series models, stationary models, homogeneous non-stationary models; the Box-Jenkins approach; intervention models; non-linear models; time-series regression; time-series smoothing; case studies. Statistical software R will be used throughout this course.

Heavy emphasis will be given to fundamental concepts and applied work. Since this is a course on applying time series techniques, different examples will be considered whenever appropriate.

Learning Outcomes

 Upon successful completion of the requirements for this course, students will be able to:

  • LO1:  Understand and apply the concept of stationarity to the analysis of time series data in various contexts (such as actuarial studies, climatology, economics, finance, geography, meteorology, political science, and sociology);
  • LO2:  Run and interpret time-series models and regression models for time series
  • LO3:  Use the Box-Jenkins approach to model and forcast time-series data empirically;
  • LO4: Use multivariate time-series models such as vector autoregression (VAR) to analyse time series data
  • LO5:  Develop fundamental research skills (such as data collection, data processing, and model estimation and interpretation) in applied time series analysis.
  • LO6:  Use existing R funtion and packages for analysing time series data, and develop their own R code for problem at the end of each chapter in teh textbook as well as additional exercises

    Other Information

    See the course outline on the College courses page. Outlines are uploaded as they become available. 

    Indicative Assessment

    Typical assessment may include, but is not restricted to: assignments and a final exam. 

    The ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.

    Workload

    Students are expected to commit at least 10 hours per week to completing the work in this course. This will include at least 3 contact hours per week and up to 7 hours of private study time.

    Requisite and Incompatibility

    To enrol in this course you must have completed STAT2001/STAT6039 and STAT2008/STAT6038. Incompatible with STAT4102.

    Specialisations

    Fees

    Tuition fees are for the academic year indicated at the top of the page.  

    If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.

    Student Contribution Band:
    Band 2
    Unit value:
    6 units

    If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees.  Where there is a unit range displayed for this course, not all unit options below may be available.

    Units EFTSL
    6.00 0.12500
    Domestic fee paying students
    Year Fee
    2017 $3660
    International fee paying students
    Year Fee
    2017 $4878
    Note: Please note that fee information is for current year only.

    Offerings and Dates

    The list of offerings for future years is indicative only

    First Semester

    Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery
    2839 20 Feb 2017 27 Feb 2017 31 Mar 2017 26 May 2017 In Person

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