Area: | Department of Mathematics and Statistics |
Credits: | 25.0 |
Contact Hours: | 3.0 |
Lecture: | 3 x 1 Hours Weekly |
Anti Requisite(s): | 304193 (v.3) Time Series Modelling 504 or any previous version
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Prerequisite(s): | 302315 (v.2) Mathematical Statistics 202 or any previous version
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Syllabus: | Exponential smoothing methods to forecast non-seasonal and seasonal time series. Stochastic time series models, fundamental concepts. Invertibility and stationarity, autocorrelation and partial autocorrelation, identification and estimation in non seasonal ARIMA models, forecasting and diagnostic checking. Seasonal time series models. Intervention analysis and outlier detection. Multivariate time series, vector ARMA and state-space modelling. |
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Texts and references listed below are for your information only and current as of September 30, 2003. Some units taught offshore are modified at selected locations. Please check with the unit coordinator for up-to-date information and approved offshore variations to unit information before finalising study and textbook purchases. |
Unit References: | Box, Jenkins and Reinsel 1994 Time Series Analysis: Forecasting & Control, Third Edition, Prentice Hall. Chatfield, Time Series: An Introduction, 3rd or later edition, Chapman & Hall. Cryer J.D., 1986 Time Series Analysis, PWS Kent. Preistley, 1981 Spectral Analysis and Time Series, Academic Press. |
Unit Texts: | Wei W.S., 1994 Time Series Analysis: Univariate And Multivariate, Addison Wesley. |
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Unit Assessment Breakdown: | Three Assignments 30%, Two hour final examination 70% |
Field of Education: | 10100 Mathematical Sciences (Narrow Grouping) | HECS Band (if applicable): | 2 |
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Extent to which this unit or thesis utilises online information: | Not Online | Result Type: | Grade/Mark |
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Availability
| Year | Location | Period | Internal | Area External | Central External | | 2004 | Bentley Campus | Semester 2 | Y | | |
Area
External | refers to external course/units run by the School or Department, offered online or through Web CT, or offered by research. |
Central
External | refers to external course/units run through the Curtin Bentley-based Distance Education Area |
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