• 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 PGRD
  • Course convener
    • Dr Hanlin Shang
  • Mode of delivery In Person
  • Offered in First Semester 2014
    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, students will have the knowledge and skills to:

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

    • 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);
    • Use the Box-Jenkins approach to model time series data empirically;
    • Run and interpret time-series models and regression models for time series
    • Use multivariate time-series models such as vector autoregression (VAR) to analyse time series data
    • Develop fundamental research skills (such as data collection, data processing, and model estimation and interpretation) in applied time series analysis.

      Other Information

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

      Indicative Assessment

      Assignments: 40%

      Final Examination: 60%

       

      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 18 hours/week to completing the work.

       

      Requisite and Incompatibility

      To enrol in this course you must have completed STAT2001/STAT6039 and STAT2008/STAT6038 or enrolment in the Master of Applied Statistics

      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. Students continuing in their current program of study will have their tuition fees indexed annually from the year in which you commenced your program. Further information for domestic and international students about tuition and other fees can be found at Fees.

      Student Contribution 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
      1994-2003 $2916
      2004 $2916
      2005 $3234
      2006 $3240
      2007 $3240
      2008 $3240
      2009 $3240
      2010 $3240
      2011 $3240
      2012 $3240
      2013 $3240
      2014 $3246
      International fee paying students
      Year Fee
      1994-2003 $3234
      2004 $3234
      2005 $3234
      2006 $3534
      2007 $3618
      2008 $3618
      2009 $3618
      2010 $3942
      2011 $3942
      2012 $3942
      2013 $3942
      2014 $3948
      Note: Please note that fee information is for current year only.

      Offerings, Dates and Class Summary Links

      The list of offerings for future years is indicative only.
      Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.

      First Semester

      Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
      3559 17 Feb 2014 07 Mar 2014 31 Mar 2014 30 May 2014 In Person N/A

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