STATS 4105 - Time Series - Honours
North Terrace Campus - Semester 2 - 2018
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General Course Information
Course Details
Course Code STATS 4105 Course Time Series - Honours Coordinating Unit Mathematical Sciences Term Semester 2 Level Undergraduate Location/s North Terrace Campus Units 3 Contact Up to 3 hours per week Available for Study Abroad and Exchange Prerequisites STATS 2107 or (MATHS 1012 and ECON 2504) or (MATHS 2201 and 2202) Assumed Knowledge Experience with the statistical package R such as would be obtained from STATS 1005 or STATS 2107 Assessment ongoing assessment 30%, exam 70% Course Staff
Course Coordinator: Professor Patricia Solomon
Course Timetable
The full timetable of all activities for this course can be accessed from .
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Learning Outcomes
Course Learning Outcomes
1. Demonstrate advanced understanding of the concepts of time series and their application to health, climate, finance and other areas.
2. Demonstrate familiarity with a range of examples for the different topics covered in the course.
3. Demonstrate an advanced understanding the underlying concepts in the time series and frequency domains.
4. Apply ideas to real time series data and interpret outcomes of analyses.
5. Demonstrate graduade-level skills in communicating mathematics and statistics, orally and in writing.University Graduate Attributes
This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:
University Graduate Attribute Course Learning Outcome(s) Deep discipline knowledge
- informed and infused by cutting edge research, scaffolded throughout their program of studies
- acquired from personal interaction with research active educators, from year 1
- accredited or validated against national or international standards (for relevant programs)
1,2,3,4 Critical thinking and problem solving
- steeped in research methods and rigor
- based on empirical evidence and the scientific approach to knowledge development
- demonstrated through appropriate and relevant assessment
1,2,3,4 Teamwork and communication skills
- developed from, with, and via the SGDE
- honed through assessment and practice throughout the program of studies
- encouraged and valued in all aspects of learning
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Learning Resources
Required Resources
None.Recommended Resources
The following books are useful references for the theory and applications of time series. I will refer to the book by Peter Diggle quite a lot.
P. Diggle. Time Series: A Biostatistical Introduction, Oxford Science Publications (1990).
C. Chatfield. The Analysis of Time Series, 7th Edition, CRC Press (2016).
P.J. Brockwell and R.A. Davis. Time Series: Theory and Methods, 2nd Edition, Springer Series in Statistics (1991).
Robert H. Shumway & David S. Stoffer. Time Series Analysis and Its Applications With R Examples, 3rd Edition, Springer (2016).Online Learning
This course uses MyUni-Canvas for providing electronic resources, including the lecture notes, lecture recordings, assignment and tutorial materials, outlines solutions, datasets, practical sheets and so on. It is recommended that students make appropriate use of these resources. Please ensure you check MyUni regularly for any announcements, emails and discussions. -
Learning & Teaching Activities
Learning & Teaching Modes
This course relies on lectures as the primary delivery mechanism for the material. Tutorials and practical classes supplement the lectures by providing exercises and problems to enhance the understanding obtained through lectures. A sequence of written assignments provides assessment opportunities for students to gauge their progress and understanding, and develop their analytical skills using R.Workload
The information below is provided as a guide to assist students in engaging appropriately with the course requirements.
Activity Quantity Workload hours Lectures 24 72 Tutorials 6 18 Assignments 5 54 Practicals 6 12 Total 156 Learning Activities Summary
Lecture Outline
1. Examples, objectives of analysis, notation, stationarity
2. Smoothing, linear filters, moving average smoothers. serial correlation
3. Iterated smoothing, spline smoothing, autocorrelation and trend. Removing seasonality, decomposing a series, differencing
4. The autocoviance and autocorrletions functions
5. The sample autocorrelation function
6. Statistical properties of the sample autocovariance function. Mean ergodicity. Gaussian white noise
7. Tests for serial correlation. The variogram for unequally spaced data
8. Periodicity and the periodogram
9. The cumulative periodogram
10. Stationary random processes. The general linear process
11. The backward shift operator. The moving average model
12. The autoregressive process. Causality. The Yule-Walker equations
13. ARMA processes
14. Spectral analysis and the spectrum. Wold's Theorem
15. Spectral analysis, aliasing. Convergence of the spectra
16. Spectra for ARMA processes. Processes with continuous spectra
17. ARIMA models. Identification
18. The partial autocorrelation function
19. Identification of ARIMA models. The Akaike Informatio Criterion
20. Likelihood ratio tests. SARIMA models
21. Forecasting for ARMA processes
22. Minimum mean squared error prediction
23. Forecasting with SARIMA models, diagnostics and prediction.
Tutorial Outline
1. Covariances for linear combinations of random variables, the autocovariance function
2. The periodogram
3. Autoregressive and moving average processes
4. The spectrum
5. Multivariate normal distributions and AR(1)
6. Forecasting.
Practical Outline
1. Creating, plotting and smoothing time series in R
2. Smoothing using polynomials, removing trend, and the acf
3. The periodogram
4. Interpreting the periodogram and cumulative periodogram; simulating AR, MA and ARMA processes
5. Simulating ARIMA processes, recognising stationarity and non-stationarity
6. Identifying ARIMA models, estimation, diagnostics and forecasting.Specific Course Requirements
Students taking Time Series as an Honours course will complete additional work, in particular, more advanced assignment, project and practical work for assessment. -
Assessment
The University's policy on Assessment for Coursework Programs is based on the following four principles:
- Assessment must encourage and reinforce learning.
- Assessment must enable robust and fair judgements about student performance.
- Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
- Assessment must maintain academic standards.
Assessment Summary
Component Weighting Outcomes Assessed Assignments 20% All Tutorial and practical participation 10% All Exam 70% All Assessment Related Requirements
An aggregate score of at least 50% is required to pass the course.Assessment Detail
5% for Tutorials is awarded for attendance and participation in 5 out of 6 Tutorials.Assessment Item Distributed Due Date Weighting Assignment 1 week 1 week 3 4% Assignment 2 week 3 week 5 4% Assignment 3 week 5 week 7 4% Assignment 4 week 7 week 9 4% Assignment 5 week 9 week 12 4% Tutorials Even weeks 5% Computing Practicals Odd weeks 5% Final exam 70%
5% for Computing Practicals is awarded for attendance and participation in 5 out of 6 Practicals.Submission
All written assignments are to be submitted to the designated hand-in boxes on Level 6 of the School of Mathematical Sciences with a signed cover sheet attached.
Late assignments will not be accepted, unless accompanied by a medical certificate or arranged in advance with the Lecturer.Course Grading
Grades for your performance in this course will be awarded in accordance with the following scheme:
M11 (Honours Mark Scheme) Grade Grade reflects following criteria for allocation of grade Reported on Official Transcript Fail A mark between 1-49 F Third Class A mark between 50-59 3 Second Class Div B A mark between 60-69 2B Second Class Div A A mark between 70-79 2A First Class A mark between 80-100 1 Result Pending An interim result RP Continuing Continuing CN Further details of the grades/results can be obtained from Examinations.
Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.
Final results for this course will be made available through .
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Student Feedback
The University places a high priority on approaches to learning and teaching that enhance the student experience. Feedback is sought from students in a variety of ways including on-going engagement with staff, the use of online discussion boards and the use of Student Experience of Learning and Teaching (SELT) surveys as well as GOS surveys and Program reviews.
SELTs are an important source of information to inform individual teaching practice, decisions about teaching duties, and course and program curriculum design. They enable the University to assess how effectively its learning environments and teaching practices facilitate student engagement and learning outcomes. Under the current SELT Policy (http://www.adelaide.edu.au/policies/101/) course SELTs are mandated and must be conducted at the conclusion of each term/semester/trimester for every course offering. Feedback on issues raised through course SELT surveys is made available to enrolled students through various resources (e.g. MyUni). In addition aggregated course SELT data is available.
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