Time Series - STAT822
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: | TBD - Not offered in the current year; next offering is to be determined |
| Staff Contact(s): | Statistics Staff |
| Prerequisites: |
Admission to MAppStat or MSc or GradCertAppStat or GradDipAppStat or MActPrac or MDataSc or MScInnovation |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Mathematics and Statistics Faculty of Science and Engineering |
Course structures, including unit offerings, are subject to change.
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