University of Technology SydneyHandbook 2007

35467 Time Series Analysis

6cp; 3hpw

This subject aims to introduce techniques for analysing and forecasting time series, and to apply these techniques to a wide variety of time series. It deals with non-seasonal and seasonal time series model identification, estimation, diagnostic examination and forecasting. Topics covered include: time series regression; exponential smoothing; spectral analysis; and Box-Jenkins ARIMA models including stationarity/invertibility criteria, transfer functions, intervention analysis and ARCH/GARCH models.

Assessment: Two assignments worth 20 per cent each; final examination worth 60 per cent.

Typical availability

Spring semester, City campus

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at Access conditions and My Student Admin.