Units

---

Sample subject outline - Semester 1 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 dependent observations. The ability to forecast optimally, to understand causal relationships between variables, and to analyse dynamic systems is of great practical importance. For example, characterisation of speech patterns is needed for speech recognition, understanding the volatility of asset prices helps fund managers to minimise risk, and removal of noise from a signal is essential for communication systems.

Aims

The overall aim of this unit is to strengthen your understanding and skills in Time Series Analysis with particular emphasis on the state-space representations of ARIMA models and nonlinear time series models and to use these models for practical applications such as optimal forecasting, simulation and analysis of dynamic systems.

Objectives

On successful completion of this unit you should have:

1. Acquired an advanced understanding of the methods of Time Series Analysis.
2. Learned the application of models and methods developed through practical examples.
3. Engaged critical thinking skills.

Content

The following topics will be covered: State-space representation of ARIMA processes; the Kalman recursions; state-space models with missing observations; the EM algorithm; generalised state-space models; nonlinear time series models including bilinear models, random coefficient autoregressive models and ARCH/GARCH models; finite-sample quasi-likelihood estimation of nonlinear time series models.

These topics are the foundation of modern Time Series Analysis and as such, students must be comfortable and competent, not only with the technical details, but also in the decisions they make as to which of these tools need to be brought to bear in a given situation.

Approaches to Teaching and Learning

You are expected to attend lectures (2 hours per week) in which the course content will be introduced and the associated skills will be demonstrated. You should also attend and contribute to a tutorial session (1 hour per week) which will involve further learning exercises, the aim of which is to improve your technical ability and your ability to choose techniques and strategies appropriate to task.

Assessment

All assessment contributes to your grade.Feedback will be available.

Assessment name: Project (applied)
Description: (Formative and summative) - This will consist of two assignments spaced throughout the semester and based on material covered in the lectures. The assignments will help you with both understanding and communication skills.
Relates to objectives: 1 to 3.
Weight: 50%
Internal or external: Internal
Group or individual: Individual
Due date: Weeks 8 and 12

Assessment name: Examination (Theory)
Description: Summative) - End-of-semester examination: This will consist of a two-hour written exam based on material covered in the lectures.
Relates to objectives: 1 to 3
Weight: 50%
Internal or external: Internal
Group or individual: Individual
Due date: Examination 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:

Complete Lecture Notes will be available on Blackboard.

References:

For additional reading, the following book is recommended:

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 will be made aware of the evacuation procedures and assembly areas inn the first few lectures. You should be conscious of your health and safety at all times whilst on campus. More information on health and safety can be obtained from

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: 03-Sep-2012