STAT456-12S2 (C) Semester Two 2012

Time Series and Stochastic Processes

15 points

Details:
Start Date: Monday, 9 July 2012
End Date: Sunday, 11 November 2012
Withdrawal Dates
Last Day to withdraw from this course:
  • Without financial penalty (full fee refund): Friday, 20 July 2012
  • Without academic penalty (including no fee refund): Friday, 5 October 2012

Description

Time Series and Stochastic Processes

STAT317 and STAT456 are courses in Time Series Analysis. These courses introduce to the analysis of repeated observations over time, a type of data extremely common in every discipline.

These courses are suited to anyone with an interest in analyzing data. We cover a wide range of topics, from the basic decomposition of a time series to advance topics such as spectral analysis.
The methods explained during the lectures are complemented by practical computer lab tutorials which make use of the software R, one of the preferred computer packages by many statisticians. In these courses we will show you how to use the package, enter, manipulate and analyze time series data in R.

For a full list of 2012 Honours courses, please refer to the Department of Mathematics and Statistics Honours Booklet Mathematics and Statistics Honours Booklet

Learning Outcomes

  • The courses will:

  • define time series data in an appropriate statistical framework
  • introduce to both basic and advanced methods in time series analysis
  • give you experience in writing scientific and technical reports You will be able to
  • describe and conduct appropriate statistical modeling techniques for time series data
  • be able to interpret the model results in such a way that a non-user of statistics can understand
  • use R competently
  • write a scientific and technical report

Prerequisites

Subject to approval of the Head of School.

Restrictions

ECON663, ECON614

Course Coordinator

Marco Reale

Lecturer

Patrick W Saart

Assessment

Assessment Due Date Percentage 
Internal Assessment - TBA 40%
Final Examination 60%


The course is assessed by four assignments, each worth 10% (in total 40%) and a final exam (60%).

Assignments give you practice in analyzing data and presenting results in a written report.  You will be expected to use R for analysis.

The assignments will involve time and effort, but are an opportunity for you to learn not only statistical modeling techniques, but to develop your writing skills.  We discuss how to write a report during lectures, and provide considerable support especially for students who have not had the chance to develop their scientific writing skills.

Textbooks / Resources

Recommended Reference:
Shumway, R.H. and Stoffer, D.S. 2010. Time Series Analysis and Its Applications: With R Examples

Indicative Fees

Domestic fee $788.00

* All fees are inclusive of NZ GST or any equivalent overseas tax, and do not include any programme level discount or additional course-related expenses.

For further information see Mathematics and Statistics .

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