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Unit of study_

Time Series (Advanced) - STAT3925

Year - 2019

This unit will study basic concepts and methods of time series analysis applicable in many real world problems applicable in numerous fields, including economics, finance, insurance, physics, ecology, chemistry, computer science and engineering. This unit will investigate the basic methods of modelling and analyzing of time series data (ie. Data containing serially dependence structure). This can be achieved through learning standard time series procedures on identification of components, autocorrelations, partial autocorrelations and their sampling properties. After setting up these basics, students will learn the theory of stationary univariate time series models including ARMA, ARIMA and SARIMA and their properties. Then the identification, estimation, diagnostic model checking, decision making and forecasting methods based on these models will be developed with applications. The spectral theory of time series, estimation of spectra using periodogram and consistent estimation of spectra using lag-windows will be studied in detail. Further, the methods of analyzing long memory and time series and heteroscedastic time series models including ARCH, GARCH, ACD, SCD and SV models from financial econometrics and the analysis of vector ARIMA models will be developed with applications. By completing this unit, students will develop the essential basis for further studies, such as financial econometrics and financial time series. The skills gain through this unit of study will form a strong foundation to work in a financial industry or in a related research organization.

Classes
3 lectures, one tutorial and one computer class per week.

Assessment
2 x Quiz (20%), Computer lab participation / task completion (10%), Computer Exam (10%), Final Exam (60%)

Pre-requisites

STAT2X11 and (MATH1X03 or MATH1907 or MATH1X23 or MATH1933)

Prohibitions

STAT4025

Details

Faculty: Science

Semester 1

25 Feb 2019

Department/School: Mathematics and Statistics Academic Operations
Study Mode: Normal (lecture/lab/tutorial) day
Census Date: 31 Mar 2019
Unit of study level: Senior
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
More details
Unit of Study coordinator: Dr John Ormerod
HECS Band: 2
Courses that offer this unit

Non-award/non-degree study If you wish to undertake one or more units of study (subjects) for your own interest but not towards a degree, you may enrol in single units as a non-award student. Cross-institutional study If you are from another Australian tertiary institution you may be permitted to undertake cross-institutional study in one or more units of study at the University of Sydney.

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