ANU - STUDYAT - Appl Time Series Analys

Offered By:	School of Finance and Applied Statistics
Academic Career:	Graduate Coursework
Course Subject:	Statistics
Offered in:	First Semester, 2010
Unit Value:	6 units
Course Description:	Emphasis of this course is on the application of time series methods to a variety of different types of data. Time series modelling techniques will be considered with particular reference to their use in forecasting. While linear models will be examined in some detail, extensions to non-linear models will also be considered. The latter part of the course will consider a number of case studies where the analysis of data sets from consulting and other situations will be discussed. Basic Concepts: Deterministic Models: Linear Time Series Models; Homogeneous Non-stationary Models; The Spectral Approach; The Box-Jenkins Approach; Extensions - Transfer Function Models; Intervention Models, Non-Linear Models, Recent Developments: Case Studies.
Learning Outcomes:	Detailed understanding of time series modelling techniques. Topics include: forecasting; linear and non-linear models; case studies where the analysis of data sets from consulting and other situations.
Indicative Assessment:	Two major assignments which will count for a minimum of 30% (and a maximum of 40%) of the final mark, with a final examination counting for a maximum of 70%.
Workload:	10 hrs / wk
Course Classification(s):	AdvancedAdvanced courses are designed for students having reached 'first degree' level of assumed knowledge, which provide a deep understanding of contemporary issues; or 'second degree' and higher levels of knowledge; or for transition to research training programs.
Areas of Interest:	Actuarial Studies, Finance, and Statistics
Eligibility:	At least an average of 65% (or equivalent) in the final two years of an Australian undergraduate degree with at least two years of university level statistical and mathematical study including calculus and linear algebra, as well as mathematical statistics and linear regression theory.
Prescribed Texts:	See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT8002.pdf
Preliminary Reading:	See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT8002.pdf
Programs:	Graduate Certificate in Actuarial Studies and Master of Applied Statistics
Other Information:	For further information please refer to http://ecocomm.anu.edu.au/courses/course.asp?code=STAT8002
Academic Contact:	Seehttp://ecocomm.anu.edu.au/courses/course.asp?code=STAT8002

Applied Time Series Analysis STAT8002 - Details