This course involves on campus teaching. For students unable to come to campus there will be a remote option. See the Class Summary for more details.
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.
- Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations and other assessment as appropriate. (100) [LO 1,2,3,4,5,6]
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.
Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time.
Requisite and Incompatibility
Information about the prescribed textbook will be available via the Class Summary.
Tuition fees are for the academic year indicated at the top of the page.
Commonwealth Support (CSP) Students
If you 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). More information about your student contribution amount for each course at Fees.
- Student Contribution Band:
- Unit value:
- 6 units
If you are a domestic graduate coursework student with a Domestic Tuition Fee (DTF) place or international student you will be required to pay course tuition fees (see below). Course tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.
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