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Time Series - STAT722

This unit is an introduction to the statistical theory and practice of Time Series Analysis. A Time Series is a set of data indexed by time. A time series is modelled as a single 'realisation' or sample of a stochastic process, i.e. a collection of (possibly) dependent random variables. The unit looks at suitable models for time series, examines the estimation of parameters in these models, hypothesis testing (and alternatively estimating the number of parameters), prediction of future values of the time series (forecasting), models for multivariate time series and the estimation of periodicity. There will also be a limited look at modelling stochastic volatility. Emphasis in this unit will be on practice.

Credit Points: 4
When Offered:

S2 Day - Session 2, North Ryde, Day

Staff Contact(s): Professor Barry Quinn
Prerequisites:

Admission to MRes Prerequisite Information

Corequisites:

STAT710

NCCW(s): STAT822
Unit Designation(s):
Unit Type:
Assessed As: Graded
Offered By:

Department of Statistics

Faculty of Science and Engineering

Course structures, including unit offerings, are subject to change.
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