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Overview

Multivariate distributions. Estimation: maximum of likelihood and method of moments. Confidence intervals. Analysis in the time domain: stationary models, autocorrelation, partial autocorrelation. ARMA and ARIMA models. Analysis in the frequency domain (Spectral analysis): spectrum, periodigram, linear and digital filters, cross-correlations and cross-spectrum, spectral estimators, confidence interval for the spectral density. … For more content click the Read More button below.

Offerings

S2-01-CLAYTON-ON-CAMPUS

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Associate Professor Tianhai Tian

Unit Coordinator(s)

Associate Professor Tianhai Tian

Notes

This Level 4 unit and its Level 3 counterpart MTH3230 share the same core content and learning activities such as seminars and applied classes. However, studies at Level 4 are distinguished from those at Level 3 by a deeper understanding of mathematical theories and their applications, higher levels of critical thinking, and greater autonomy in learning.

Learning outcomes

On successful completion of this unit, you should be able to:
1.

Critically evaluate and articulate the concept of stationary time series.

2.

Demonstrate an in-depth understanding of the concept of projection and its use in forecasting.

3.

Analyse and synthesise models of autoregression, moving averages, and their combinations.

4.

Perform advanced analysis of time series in both time domain and frequency domain.

5.

Apply the Kalman filter to random systems, demonstrating proficiency in both theoretical understanding and practical implementation.

6.

Conduct analysis of time series data using the ITSM package, showcasing the ability to handle complex datasets and derive meaningful insights

Teaching approach

Active learning

Assessment

1 - Continuous assessment

2 - Final assessment - Exam (3 hours and 10 minutes)

Scheduled and non-scheduled teaching activities

Applied sessions

Seminars

Workload requirements

Workload

Other unit costs

Costs are indicative and subject to change.

Miscellaneous items required (Unit course reader, Printing, Stationery) - $120.

Availability in areas of study

Applied mathematics
Financial and insurance mathematics
Mathematical statistics
Mathematics