MATH5845 Time Series Analysis

MATH5845 is a Honours and Postgraduate Coursework Mathematics course. See the course overview below

Units of credit: 6

Prerequisites: Nil

Cycle of offering: Course not offered every year.

Graduate attributes: The course will enhance your research, inquiry and analytical thinking abilities.

More information: This recent course handout (pdf) contains information about course objectives, assessment, course materials and the syllabus.

The Online Handbook entry contains information about the course. (The timetable is only up-to-date if the course is being offered this year.) 

If you are currently enrolled in MATH5845, you can log into UNSW Moodle for this course.

Course Overview

This course is concerned with the theory and application of appropriate statistical techniques for analysis of time series data; data that is collected over time. The course will begin with the theory of stationary time series, methods for trend and seasonal analysis and adjustment, modelling and forecasting with autoregressive moving average processes, modelling the impact of exogenous or intervention variables on responses, models for stochastic volatility. Applications will primarily be drawn from two areas: finance and public health. In this course you will develop a sound understanding of the time domain properties and common models for stationary and non-stationary time series in discrete time, and will be able to use the R package to perform appropriate analyses.