## STATS 4105 - Time Series - Honours

### North Terrace Campus - Semester 2 - 2016

The course information on this page is being finalised for 2016. Please check again before classes commence.

Time series consist of values of a variable recorded in an order over a period of time. Such data arise in just about every area of science and the humanities, including econometrics and finance, engineering, medicine, genetics, sociology, environmental science. What makes time series data special is the presence of dependence between observations in a series, and the fact that usually only one observation is made at any given point in time. This means that standard statistical methods are not appropriate, and special methods for statistical analysis are needed. This course provides an introduction to time series analysis using current methodology and software. Topics covered are: descriptive methods, plots, smoothing, differencing; the autocorrelation function, the correlogram and variogram, the periodogram; estimation and elimination of trend and seasonal components; stationary processes, modelling and forecasting with autoregressive moving average (ARMA) models; spectral analysis, the fast Fourier transform, periodogram averages and other smooth estimates of the spectrum; time-invariant linear filters; non-stationary and seasonal time series models; ARIMA processes, identification, estimation and diagnostic checking, forecasting, including extrapolation of polynomial trends, exponential smoothing, and the Box-Jenkins approach.

• General Course Information
##### Course Details
Course Code STATS 4105 Time Series - Honours School of Mathematical Sciences Semester 2 Undergraduate North Terrace Campus 3 Up to 3 hours per week STATS 2107 or (MATHS 1012 and ECON 2504) or (MATHS 2201 and 2202) Experience with the statistical package R such as would be obtained from STATS 1005 or STATS 2107 Time series consist of values of a variable recorded in an order over a period of time. Such data arise in just about every area of science and the humanities, including econometrics and finance, engineering, medicine, genetics, sociology, environmental science. What makes time series data special is the presence of dependence between observations in a series, and the fact that usually only one observation is made at any given point in time. This means that standard statistical methods are not appropriate, and special methods for statistical analysis are needed. This course provides an introduction to time series analysis using current methodology and software. Topics covered are: descriptive methods, plots, smoothing, differencing; the autocorrelation function, the correlogram and variogram, the periodogram; estimation and elimination of trend and seasonal components; stationary processes, modelling and forecasting with autoregressive moving average (ARMA) models; spectral analysis, the fast Fourier transform, periodogram averages and other smooth estimates of the spectrum; time-invariant linear filters; non-stationary and seasonal time series models; ARIMA processes, identification, estimation and diagnostic checking, forecasting, including extrapolation of polynomial trends, exponential smoothing, and the Box-Jenkins approach.
##### Course Staff

Course Coordinator: Associate Professor Gary Glonek

##### Course Timetable

The full timetable of all activities for this course can be accessed from Course Planner.

• Learning Outcomes
##### Course Learning Outcomes

No information currently available.

##### University Graduate Attributes

No information currently available.

• Learning & Teaching Activities
##### Learning & Teaching Modes

No information currently available.

No information currently available.

##### Learning Activities Summary

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• Assessment

The University's policy on Assessment for Coursework Programs is based on the following four principles:

1. Assessment must encourage and reinforce learning.
2. Assessment must enable robust and fair judgements about student performance.
3. Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
4. Assessment must maintain academic standards.

##### Assessment Summary

No information currently available.

##### Assessment Detail

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##### Submission

No information currently available.

Grades for your performance in this course will be awarded in accordance with the following scheme:

M11 (Honours Mark Scheme)
GradeGrade reflects following criteria for allocation of gradeReported on Official Transcript
Fail A mark between 1-49 F
Third Class A mark between 50-59 3
Second Class Div B A mark between 60-69 2B
Second Class Div A A mark between 70-79 2A
First Class A mark between 80-100 1
Result Pending An interim result RP
Continuing Continuing CN

Further details of the grades/results can be obtained from Examinations.

Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.

Final results for this course will be made available through Access Adelaide.

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