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Time Series - MATH5845
 The Quad

   
   
   
 
Campus: Kensington Campus
 
 
Career: Postgraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 2
 
 
Fee Band: 2 (more info)
 
 
Further Information: See Class Timetable
 
  

Description

The course is concerned with the theory and application of appropriate statistical techniques for analysis of time series data -- data collected over time. The course will develop a sound understanding of the time domain properties and common models for stationary and non-stationary time series in discrete time. The topics inlcude the theory of stationary time series; methods for trend and seasonal analysis and adjustment; modelling and forecasting with autoregressive moving avarage processes; modelling the impact of exogenous or intervention variables on responses; models for stochastic volatility and long term dependence; regression models for time series counts. Applications are primarily drawn from finance and public health. SAS is used to perform appropriate analyses.

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© The University of New South Wales (CRICOS Provider No.: 00098G), 2004-2011. The information contained in this Handbook is indicative only. While every effort is made to keep this information up-to-date, the University reserves the right to discontinue or vary arrangements, programs and courses at any time without notice and at its discretion. While the University will try to avoid or minimise any inconvenience, changes may also be made to programs, courses and staff after enrolment. The University may also set limits on the number of students in a course.