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This unit will study basic concepts and methods of time series analysis applicable in many real world problems 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 (i.e. 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 gained through this unit of study will form a strong foundation to work in a financial industry or in a related research organization.
Study level | Undergraduate |
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Academic unit | Mathematics and Statistics Academic Operations |
Credit points | 6 |
Prerequisites:
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STAT2X11 and (MATH1062 or MATH1962 or MATH1972 or MATH1X03 or MATH1907 or MATH1X23 or MATH1933) |
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Corequisites:
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None |
Prohibitions:
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STAT3925 |
Assumed knowledge:
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None |
At the completion of this unit, you should be able to:
This section lists the session, attendance modes and locations the unit is available in. There is a unit outline for each of the unit availabilities, which gives you information about the unit including assessment details and a schedule of weekly activities.
The outline is published 2 weeks before the first day of teaching. You can look at previous outlines for a guide to the details of a unit.
Session | MoA ? | Location | Outline ? |
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Semester 1 2024
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Normal day | Camperdown/Darlington, Sydney |
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Session | MoA ? | Location | Outline ? |
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Semester 1 2025
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Normal day | Camperdown/Darlington, Sydney |
Outline unavailable
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Session | MoA ? | Location | Outline ? |
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Semester 1 2020
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Normal day | Camperdown/Darlington, Sydney |
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Semester 1 2021
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Normal day | Camperdown/Darlington, Sydney |
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Semester 1 2021
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Normal day | Remote |
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Semester 1 2022
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Normal day | Camperdown/Darlington, Sydney |
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Semester 1 2022
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Normal day | Remote |
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Semester 1 2023
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Normal day | Camperdown/Darlington, Sydney |
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Semester 1 2023
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Normal day | Remote |
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This refers to the Mode of attendance (MoA) for the unit as it appears when you’re selecting your units in Sydney Student. Find more information about modes of attendance on our website.