• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
• ANU College ANU College of Business and Economics
• Course subject Statistics
• Areas of interest Statistics
• Course convener
• Dr Xuan Liang
• Mode of delivery In Person
• Co-taught Course
• Offered in First Semester 2023
Applied Time Series Analysis (STAT8002)

This course involves on-campus teaching. For students not on campus, there will be a remote option in Sem 1. See Class Summary or Wattle for 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.

## 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.

## Indicative Assessment

1. 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.

Not applicable

## Requisite and Incompatibility

To enrol in this course you must have completed STAT6039 or STAT6013 and have completed STAT6038 or STAT6014 or STAT7001 or EMET7001. Incompatible with STAT4102.

## Prescribed Texts

Information about the prescribed textbook will be available via the Class Summary.

## Fees

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:
1
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.

Where there is a unit range displayed for this course, not all unit options below may be available.

Units EFTSL
6.00 0.12500

## Course fees

Domestic fee paying students
Year Fee
2023 \$4320
International fee paying students
Year Fee
2023 \$6180
Note: Please note that fee information is for current year only.

## Offerings, Dates and Class Summary Links

ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage.

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
4003 20 Feb 2023 27 Feb 2023 31 Mar 2023 26 May 2023 In Person View