Units

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Sample subject outline - Semester 2 2013

Note: Subject outlines often change before the semester begins. Below is a sample outline.

Rationale

Data in business, economics, engineering and the natural sciences often occur in the form of time series. Time Series Analysis provides models and methods for the analysis of such series of correlated observations. The ability to forecast optimally, to understand causal relationships between variables, and to analyse dynamic systems is of great practical importance. For example, optimal sales forecasts are needed for business planning, transfer function models are needed for improving the design and control of a process plant, and vector time series models are used to represent the relationships and interactions of macroeconomic variables in an economy.

This unit is concerned with the building of time series models and the use of such models for practical applications such as optimal forecasting, simulation, causality analysis, and analysis of dynamic systems.

Aims

The overall aim of this unit is to foster understanding and skills in Time Series Analysis and Statistical Forecasting as a foundation for lifelong learning.

Objectives

On completion of this unit you should have:

1. Developed statistical data analysis skills.
2. Acquired the basic elements of Time Series Analysis.
3. Learned the art of model building through the iterative cycle of identification, estimation, diagnostic checking and forecasting. This iterative process is basic to stochastic modelling in general.
4. Demonstrated the application of models and methods developed through practical examples.
5. Enhanced the understanding of various techniques through hands-on experience via interactive computer packages.

Content

The following core content will be covered: Fundamentals of Time Series Analysis; time series models; nonstationary processes; seasonal ARIMA models; vector autoregression; long-range dependence and fractional ARIMA models; co-integration of nonstationary processes.

A computer package will be used to implement and simulate the models and techniques developed throughout the unit.

Approaches to Teaching and Learning

There will be four contact hours per week. The materials are presented in two formal lecture hours per week. Understanding of the concepts, models and techniques is enhanced through workshops (1 hour per week) and computing practicals (1 hour per week) in which you will be encouraged to think critically by analysis, practice and review.

Your work will be context-based using a wide variety of examples from many different areas of application. The emphasis will be on enabling your learning through experience, both in groups and as individuals, on providing opportunities to enhance your written and oral communication, and on honing skills and attitudes to promote your lifelong learning.

A combination of detailed lecture notes, discussions, working through small and larger real world problems, and derivation of solutions individually or in groups, will promote creativity in problem-solving, critical assessment, and intellectual debate. You will be encouraged to engage in aspects of professionalism and ethics in the practice of Time Series Analysis.

Assessment

The assessment package is carefully designed to help you manage and optimise your understanding and skills throughout the semester, aiming for achievement of the synergies and synthesis of the unit by the end of semester.Assessment carried out during the teaching period will be marked, with written comments, and returned promptly after submission deadlines as required by University policy. Examination scripts can be perused after the release of official results in the unit. The lecturer will be reasonably available for consultation in case of queries over marking of assessment items.

Assessment name: Problem Solving Task
Description: Continuous assessment: This will consist of two assignments based on class and laboratory work. The assignments will be spaced appropriately through the semester. The assignments will help you with both understanding and communication skills. The marked assignments, feedback and suggested solutions will be given to you within two weeks of submission of each assignment. Thus, the assignments are both summative and formative.
Relates to objectives: 1-5
Weight: 40%
Internal or external: Internal
Group or individual: Individual
Due date: To be advised

Assessment name: Examination (Theory)
Description: End-of-semester examination: This will consist of a two-hour written exam assessing the synthesis and synergies of the totality of skills, problem-solving and operational knowledge you have developed over the whole semester. The exam is summative.
Relates to objectives: 2 and 3.
Weight: 60%
Internal or external: Internal
Group or individual: Individual
Due date: Exam Period

Academic Honesty

QUT is committed to maintaining high academic standards to protect the value of its qualifications. To assist you in assuring the academic integrity of your assessment you are encouraged to make use of the support materials and services available to help you consider and check your assessment items. Important information about the university's approach to academic integrity of assessment is on your unit Blackboard site.

A breach of academic integrity is regarded as Student Misconduct and can lead to the imposition of penalties.

Resource materials

Text:

1. Lecture materials will be available electronically.

References:

For additional reading, the following books are recommended:

1. Tsay RS (2002) Analysis of Financial Time Series, Wiley

2. Chan NH (2002) Time Series, Wiley

3. Brockwell PJ & Davis RA (1991) Time Series: Theory and Methods, Springer-Verlag

4. Brockwell PJ & Davis RA (2002) Introduction to Time Series and Forecasting, Springer

Risk assessment statement

There are no out of the ordinary risks associated with this unit. You should be conscious of workplace health and safety at all times. Fire exits in classrooms will be indicated in the first class (absentees should obtain advice when they next attend). In the event of a fire alarm sounding, or on a lecturer's instruction, you should leave the room and assemble in the designated area which will be indicated to you. You should not attempt to adjust or repair computer or other electrical equipment, and should report suspected faults to a Computer Systems Officer. Further information on health and safety at QUT can be found at http://hrd.qut.edu.au/healthsafety/healthsafe/index.jsp

Disclaimer - Offer of some units is subject to viability, and information in these Unit Outlines is subject to change prior to commencement of semester.

Last modified: 12-Oct-2012