Time Series Analysis

Course code STAT3040Units 10Level 3000Faculty of Science and Information TechnologySchool of Mathematical and Physical Sciences

This course presents both theory and applications of linear time series and an introduction to stochastic processes at a level accessible to a wide variety of students and pratictioners in statistics, economics and finance, science, engineering and quantitative social science. Stochastic processes quantify dynamic relationships of sequences of random events; time series modelling is one part of stochastic processes. Emphasis is placed on model choice and development, and how to estimate model parameters and forecast future values. Stochastic models play an important role in analysing the variability inherent in biological, medical and engineering processes, and in dealing with the uncertainties affecting managerial decisions and the complexities of psychological and social interactions.

Available in 2014

Callaghan CampusSemester 2
Previously offered in 2013, 2012, 2011, 2010, 2009, 2008, 2006, 2004
ObjectivesOn successful completion of this course, students will:

1. Understand the concepts of time series analysis in the time domain;
2. Be able to determine and apply appropriate models for the real life datasets;
3. Have developed skills in statistical computing of time series problems.
4. Understand the concepts of stochastic processes;
5. Be able to determine and apply Markov chain and Markov processes into real life phenomenon..
Content. Introduction and Review
. Fundamental concepts in Time Series (TS)
. Model Stationary TS
. Model Nonstationary TS
. Model specification TS
. Model estimation TS
. Model diagnostics TS
. Model forecasting TS
. Introduction to Stochastic Processes
. Markov Chains
. Markov Processes
Replacing Course(s)n/a
Industrial Experience0
Assumed KnowledgeSTAT2010 - Fundamentals of Statistics
Modes of DeliveryInternal Mode
Teaching MethodsLecture
Computer Lab
Assessment Items
Essays / Written Assignments
Examination: Formal
Contact HoursLecture: for 2 hour(s) per Week for Full Term
Computer Lab: for 2 hour(s) per Week for Full Term
Timetables2014 Course Timetables for STAT3040