- Class Number 2975
- Term Code 3130
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Dr Tao Zou
- Dr Tao Zou
- Class Dates
- Class Start Date 22/02/2021
- Class End Date 28/05/2021
- Census Date 31/03/2021
- Last Date to Enrol 01/03/2021
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.
Upon successful completion, students will have the knowledge and skills to:
- 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);
- Run and interpret time-series models and regression models for time series;
- Use the Box-Jenkins approach to model and forecast time-series data empirically;
- Use multivariate time-series models such as vector autoregression (VAR) to analyse time series data;
- Utilise fundamental research skills (such as data collection, data processing, and model estimation and interpretation) in applied time series analysis; and,
- Use existing R function and packages for analysing time series data, and develop R code where appropriate.
Where possible, topics 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
There is no examination for this course. Please see Assessment sections for details and required material.
The course does not have a required textbook.
Shumway, R. H. and Stoffer, D. S. Time Series Analysis and its Application, Springer.
A free ebook copy of the textbook is available at: https://www.researchgate.net/publication/265365840_Time_Series_Analysis_and_Its_Applications_With_R_Examples
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 written comments in the marked assignments.
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.
As a further academic integrity control, students may be selected for a 15 minute individual oral examination of their written assessment submissions. 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.
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/
Communication via Email
If I, or anyone in the School, College or University administration, need to contact you, we will do so via your official ANU student email address, which you need to check regularly. If you have any questions for the teaching and course convenor make sure you email them using your ANU email address. Emails from personal email accounts will not be answered.
Students are expected to check the Wattle site for announcements about this course, e.g. changes to timetables or notifications of cancellations.
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.
In assignments and exams, students must appropriately reference any results, words or ideas that they take from another source which is not their own. A guide can be found at https://academicskills.anu.edu.au/resources/handouts/referencing-basics.
|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|
|5||Box-Jenkin approach and its multivariate variant||Submission of Assignment 1|
|6||Box-Jenkin approach and its multivariate variant||Feedback of Assignment 1|
|8||Autocorrelation and partial autocorrelation functions|
|9||Time series estimation and forecasting|
|10||Nonstationary time series/Multiplicative seasonal ARIMA models||Submission of Assignment 2 and release of Final Project|
|11||ARCH/GARCH models||Feedback of Assignment 2|
|12||Various topics of interest/Review||Submission of Final Project|
Tutorials will be available on campus, live through scheduled Zoom sessions and as pre-recorded videos. Information regarding enrolments for these options will be provided on Wattle during O-week, prior to the start of the semester.
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Assignment 1||15 %||23/03/2021||02/04/2021||1,2,3|
|Assignment 2||25 %||11/05/2021||21/05/2021||1,2,3,4,5,6|
|Final Project||60 %||28/05/2021||01/07/2021||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
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
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 Academic Integrity . In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.
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.
Lectures will be live and recorded through Zoom. Consultations will be live through Zoom. Tutorials will be available on campus, live through scheduled Zoom sessions and as pre-recorded videos. Information regarding enrolments for these options will be provided on Wattle during O-week, prior to the start of the semester.
There is no examination for this course.
Assessment Task 1
Learning Outcomes: 1,2,3
Turnitin submission. The students are expected to complete this assignment individually. This assignment is built based on materials from Week 1 to 4. Assignments will include mostly derivation problems. The assignment questions will be released two weeks before the due date. The notification about access to the assignment will also be announced in Week 3 during lectures and on Wattle. Assignments are expected to be in a PDF or Word file.
Value: 15% and compulsory.
Estimated return date: The week after submission.
Assessment Task 2
Learning Outcomes: 1,2,3,4,5,6
Turnitin submission. The students are expected to complete this assignment individually. This assignment is built based on materials from Week 1 to 9. Assignments will include mostly derivation problems. The assignment questions will be released two weeks before the due date. The notification about access to the assignment will also be announced in Week 8 during lectures and on Wattle. Assignments are expected to be in a PDF or Word file.
Value: 25% and compulsory.
Estimated return date: Two weeks after submission.
Assessment Task 3
Learning Outcomes: 1,2,3,4,5,6
Turnitin submission. The students are expected to complete this project individually. This final project will be based on all the materials covered throughout the duration of the semester. The final project is a compulsory piece of assessment and worth 60% of the final raw score. Students will be provided with further details regarding the final project on Monday of Week 10. This project requires the use of R to analyse real data. This project is designed to apply all the materials introduced in this course to analyse real datasets assigned by the course convener, as well as to predict some on-hold data. Written reports for this project (10 pages maximum for the main manuscript and 20 pages maximum for the appendix based on the format below, and all the R code should be relegated to the appendix) are expected to be submitted via Turnitin. Turnitin similarity check will be conducted for all the submitted reports.
Value: 60% and compulsory.
Report Format – PDF or Word Upload
Use Australian English spelling. All pages (uploaded in PDF or Word form) must be as follows:
• Black type, or occasional coloured type for highlighting purposes;
• Single column;
• White A4 size paper with at least 0.5 cm margin on each side, top and bottom;
• Text must be size 12 point Times New Roman or an equivalent size before converting to PDF format and must be legible to assessors;
• References and appendices only can be in 10 point Times New Roman or equivalent.
Academic integrity is a core part of the ANU culture as a community of scholars. At its heart, academic integrity is about behaving ethically, committing to honest and responsible scholarly practice and upholding these values with respect and fairness.
The ANU commits to assisting all members of our community to 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 be familiar with the academic integrity principle and Academic Misconduct Rule, 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 Academic Misconduct Rule is in place to promote academic integrity and manage academic misconduct. Very minor breaches of the academic integrity principle may result in a reduction of marks of up to 10% of the total marks available for the assessment. The ANU offers a number of online and in person services to assist students with their assignments, examinations, and other learning activities. Visit the Academic Skills website for more information about academic integrity, your responsibilities and for assistance with your assignments, writing skills and study.
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. 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) submission must be through Turnitin.
There is no hardcopy submission in the course.
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.
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.
The marked assignments will be returned online.
Extensions and Penalties
Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. Extensions may be granted 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
It will not be possible for assignments to be resubmitted.
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
Financial statistics, time series analysis
Dr Tao Zou
Dr Tao Zou