• Class Number 4247
• Term Code 3230
• Class Info
• Unit Value 6 units
• Mode of Delivery In Person
• COURSE CONVENER
• Dr Xuan Liang
• LECTURER
• Dr Xuan Liang
• Class Dates
• Class Start Date 21/02/2022
• Class End Date 27/05/2022
• Census Date 31/03/2022
• Last Date to Enrol 28/02/2022
SELT Survey Results

Applied Time Series Analysis (STAT8002)

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. 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; and,
6. Use existing R function and packages for analysing time series data, and develop R code where appropriate.

## Research-Led Teaching

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

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

## Examination Material or equipment

There is no final examination for this course. Please see Assessment sections for details and required material.

## Required Resources

The course does not have a required textbook.

Recommended Text:

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

## 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 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

Assessment Requirements

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.

Announcements

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

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.

Co-Teaching

STAT8002 shares the same lecture content and assignments as STAT4102.The different cohorts of students will also be treated separately in grading and any scaling that is applied.

## Class Schedule

Week/Session Summary of Activities Assessment
1 Course Introduction; Introduction and Characteristics of Time Series
2 Estimation of Serial Correlation
3 Modelling Stationary Time Series – AR Models
4 Estimation of AR Models
5 Modelling Stationary Time Series – MA Models Submission of Assignment 1
6 Estimation of MA Models
7 Modelling Stationary Time Series – ARMA Models and Estimation
8 Forecasting
9 Building ARMA Models and Diagnostics
10 Modelling Non-Stationary Time Series – Time Trend Models Submission of Assignment 2
11 Modelling Non-Stationary Time Series – ARIMA Models
12 Seasonal Models; Introduction to Multiple Time Series Analysis - Vector Autoregressive (VAR) Models

## Tutorial Registration

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 Summary

Assessment task Value Due Date Return of assessment Learning Outcomes
Assignment 1 15 % 22/03/2022 01/04/2022 1,2,3
Assignment 2 25 % 10/05/2022 20/05/2022 1,2,3,4,5,6
Final Project 60 % 02/06/2022 30/06/2022 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:

## 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 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.

## Participation

Lectures will be pre-recorded. 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.

## Examination(s)

There is no examination for this course.

Value: 15 %
Due Date: 22/03/2022
Return of Assessment: 01/04/2022
Learning Outcomes: 1,2,3

Assignment 1

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 derivation problems and data analysis with R. 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: A week after submission.

Value: 25 %
Due Date: 10/05/2022
Return of Assessment: 20/05/2022
Learning Outcomes: 1,2,3,4,5,6

Assignment 2

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 derivation problems and data analysis with R. 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: A week after submission.

Value: 60 %
Due Date: 02/06/2022
Return of Assessment: 30/06/2022
Learning Outcomes: 1,2,3,4,5,6

Final Project

Turnitin submission. The students are expected to complete this project individually. This final project will be based on all the materials covered throughout the whole 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 3 weeks before the due date. This project requires the use of R to analyse real 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 codes should be relegated to the appendix) are expected to be submitted via Turnitin.

Value: 60% and compulsory.

Report Format – PDF or Word file

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.

## Online 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. 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.

## Hardcopy Submission

There is no hardcopy submission in the course.

## 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 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.

## 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.
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.

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).

## Convener

 Dr Xuan Liang 02 6125 0401 xuan.liang@anu.edu.au

### Research Interests

Spatial modeling, panel data, social network data modeling, biostatistics, environmental statistics and time series.

### Dr Xuan Liang

 Thursday 16:00 17:00 Thursday 16:00 17:00 By Appointment

## Instructor

 Dr Xuan Liang 02 6125 0401 xuan.liang@anu.edu.au

### Dr Xuan Liang

 Thursday 16:00 17:00 Thursday 16:00 17:00 By Appointment