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:

1. 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)
2. Run and interpret time-series models and regression models for time series
3. Use the Box-Jenkins approach to model and forecast time-series data empirically
4. Use multivariate time-series models such as vector autoregression (VAR) to analyse time series data
5. Utilise fundamental research skills (such as data collection, data processing, and model estimation and interpretation) in applied time series analysis
6. Use existing R function and packages for analysing time series data, and develop their own R code where appropriate

Research-Led Teaching

Where possible, topics covered will be related to current research problems and reflect real world situations to emphasize the use of the techniques covered.

Additional Course Costs

The only other additional course costs are a calculator, textbook (if purchased) and printing materials.

Examination Material or equipment

• Calculator (non-programmable).

• Unannotated paper-based dictionary (no approval required).

• Five A4 pages with notes on both sides.

Required Resources

Recommended Text

Shumway, R. H. and Stoffer, D. S. Time Series Analysis and its Application, Springer.

The lecturer has requested that the library makes available as a 2 hour or 2 day loan.

Recommended Resources

Supplementary Reading (Not Compulsory)

Fan, J. and Yao, Q. The Elements of Financial Econometrics, Cambridge University Press.

Tsay, R. S. Multivariate Time Series Analysis, Wiley.

Pena, D., Tiao, G. C., Tsay, R. S. A Course in Time Series Analysis, Wiley.

Lütkepohl, H. New Introduction to Multiple Time Series Analysis, Springer.

Staff Feedback

Students will be given feedback (through both verbal and written comments) in the following forms in this course:

• To the whole class during lectures.

• Within tutorials.

• Individually during consultation hours.

Students will also be given online quiz feedback on Wattle and written comments in the marked assignments.

Student Feedback

ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.

Other Information

Scaling

Your final mark for the course will be based on the raw marks allocated for each of your assessment items. However, your final mark may not be the same number as produced by

that formula, as marks may be scaled. Any scaling applied will preserve the rank order of raw marks (i.e. if your raw mark exceeds that of another student, then your scaled mark will exceed the scaled mark of that student), and may be either up or down.

Referencing Requirements

The University offers a number of support services for students. Information on these is available online from http://students.anu.edu.au/studentlife/.

Support for Students

The University offers a number of support services for students. Information on these is available online from http://students.anu.edu.au/studentlife/.

Assignment Submission

?Hard Copy Submission: Assignments are submitted via the physical assignment box at the front of the admin office on Level 4, CBE Building (26C). The cover sheet must use the assignment cover sheet template. Assignments must include the cover sheet available on Wattle site. Please keep a copy of tasks completed for your records. Email and fax submissions are not acceptable.

Class Schedule

Week/Session	Summary of Activities	Assessment
1	Overview of STAT4102/8002 and general information
2	Time series characteristic and R language
3	Time series smoothing, regression and exploratory data analysis
4	Time series smoothing, regression and exploratory data analysis	Release of Quiz on Wattle
5	Box-Jenkin approach and its multivariate variant	Submission of Quiz
6	Box-Jenkin approach and its multivariate variant	Feedback of Quiz
7	Difference equations	Release of Assignment 1 on Wattle
8	Autocorrelation and partial autocorrelation functions	Submission of Assignment 1
9	Time series estimation and forecasting	Feedback of Assignment 1
10	Nonstationary time series/Multiplicative seasonal ARIMA models	Release of Assignment 2 on Wattle
11	ARCH/GARCH models	Submission of Assignment 2
12	Various topics of interest/Review	Feedback of Assignment 2

Assessment Summary

Assessment task	Value	Due Date	Return of assessment	Learning Outcomes
Quiz (Online)	0 %	27/03/2019	05/04/2019	1,2
Assignment 1	15 %	01/05/2019	10/05/2019	1,2,3
Assignment 2	15 %	22/05/2019	31/05/2019	1,2,3,4,5,6
Final Exam	70 %	06/06/2019	04/07/2019	1,2,3,4,5,6

* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details

Policies

ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:

• Student Assessment (Coursework) Policy and Procedure
• Special Assessment Consideration Policy and General Information 
• Student Surveys and Evaluations
• Deferred Examinations
• Student Complaint Resolution Policy and Procedure

Assessment Requirements

The ANU is using 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. For additional information regarding Turnitin please visit the ANU Online website. Students may choose not to submit assessment items through Turnitin. In this instance you will be required to submit, alongside the assessment item itself, hard copies of all references included in the assessment item.

Moderation of Assessment

Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.

Participation

This course does not require students to use Turnitin for assignment submission.

Any student identified, either during the current semester or in retrospect, as having used ghost writing services will be investigated under the University’s Academic Misconduct Rule.

Assessment Task 1

Quiz (Online)

The students will get 60 minutes to complete this quiz individually. This quiz is designed to cover materials from Week 1 to 3. Besides, this quiz is compulsory, and is to be attempted online on Wattle. The quiz will be available on Monday of Week 4 and will be due on Wednesday of Week 5. The notification about access to the quiz will also be announced in Week 3 during lectures and on Wattle. Under no circumstances will the students be able to attempt the quiz outside of the allocated time period. This quiz may require the use of R to analyse real data and there will be a mix of multiple choice questions and numerical evaluation questions.

Assessment Rubrics

Value: 0%.

Estimated return date: The week after submission.

 

Assessment Task 2

Assignment 1

The students are expected to complete this assignment individually. This assignment is designed to cover materials from Week 4 to 6. Assignments will require the use of R to analyse real data and then to summarise and report on the findings of the analysis. More details will be provided during the lectures and on Wattle.

Assessment Rubrics

Assignments are expected to be printed and contain relevant computer code and graphics.

Value: 15%.

Estimated return date: The week after submission

Assessment Task 3

Assignment 2

The students are expected to complete this assignment individually. This assignment is designed to cover materials from Week 7 to 9. Assignments will require the use of R to analyse real data and then to summarise and report on the findings of the analysis. More details will be provided during the lectures and on Wattle.

Assessment Rubrics                                                            

Assignments are expected to be printed and contain relevant computer code and graphics.

Value: 15%.

Estimated return date: The week after submission.

Assessment Task 4

Final Exam

The final examination will be based on all the work covered throughout the duration of the semester. The final examination is worth 70% of the final raw score. The exam will include a mixture of theoretical and numerical questions. Students will be provided with further details regarding the exam as it approaches.

 

Academic Integrity

Academic integrity is a core part of our culture as a community of scholars. At its heart, academic integrity is about behaving ethically. This means that all members of the community commit to honest and responsible scholarly practice and to upholding these values with respect and fairness. The Australian National University commits to embedding the values of academic integrity in our teaching and learning. We ensure that all members of our community understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with. The University has policies and procedures in place to promote academic integrity and manage academic misconduct. Visit the following Academic honesty & plagiarism website for more information about academic integrity and what the ANU considers academic misconduct. The ANU offers a number of services to assist students with their assignments, examinations, and other learning activities. The Academic Skills and Learning Centre offers a number of workshops and seminars that you may find useful for your studies.

Online Submission

You will be required to electronically sign a declaration as part of the submission of your assignment. Please keep a copy of the assignment for your records. Unless an exemption has been approved by the Associate Dean (Education) as submission must be through Turnitin.

Hardcopy Submission

For some forms of assessment (hand written assignments, art works, laboratory notes, etc.) hard copy submission is appropriate when approved by the Associate Dean (Education). Hard copy submissions must utilise the Assignment Cover Sheet. Please keep a copy of tasks completed for your records.

Late Submission

No submission of assessment tasks without an extension after the due date will be permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.

Referencing Requirements

Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.

Returning Assignments

The marked hard copy assignments will be mainly returned to students via the admin office on Level 4, CBE Building (26C). Students will be provided with further details on Wattle site regarding the other returning information as it approaches. You should retain a copy of your submission for your own records. If you do not collect your assignments, they will be destroyed after the end of the semester.

Extensions and Penalties

Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.

Resubmission of Assignments

Resubmission of assignments will not be accepted.

Privacy Notice

The ANU has made a number of third party, online, databases available for students to use. Use of each online database is conditional on student end users first agreeing to the database licensor’s terms of service and/or privacy policy. Students should read these carefully. In some cases student end users will be required to register an account with the database licensor and submit personal information, including their: first name; last name; ANU email address; and other information.
In cases where student end users are asked to submit ‘content’ to a database, such as an assignment or short answers, the database licensor may only use the student’s ‘content’ in accordance with the terms of service – including any (copyright) licence the student grants to the database licensor. Any personal information or content a student submits may be stored by the licensor, potentially offshore, and will be used to process the database service in accordance with the licensors terms of service and/or privacy policy.
If any student chooses not to agree to the database licensor’s terms of service or privacy policy, the student will not be able to access and use the database. In these circumstances students should contact their lecturer to enquire about alternative arrangements that are available.

Distribution of grades policy

Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.

Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.

Support for students

The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).

• ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
• ANU Diversity and inclusion for students with a disability or ongoing or chronic illness
• ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
• ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
• ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
• ANUSA supports and represents undergraduate and ANU College students
• PARSA supports and represents postgraduate and research students