2009 Course Handbook
STAT822: Time Series
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 course 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 course will be on practice.
| Credit Points: | 4 |
| Contact Hours: | -- |
| When Offered: |
E2 - Evening; Offered in the second half-year
X2 - External study; Offered in the second half-year (On Campus session: No session) |
| Staff Contact: | Professor Barry Quinn |
| Prerequisites: | |
| Corequisites: | STAT810 or STAT371 |
| NCCWs: | |
| Unit Designations: | -- |
| Assessed As: | Graded |
| Offered By: |
Faculty of Science |
Timetable Information
For unit timetable information please visit the Timetables@Macquarie Website.