STA3042

Time series and statistical inference

(SCI)

Dr Malcolm Clark

6 points + Three 1-hour lectures and an average of one 1-hour support class per week + Clayton + Second semester + Prerequisites: MTH2222 or equivalent + Prohibitions: MAT3232, MAT3251

Synopsis: Time series: autocovariance and autocorrelation functions; stationary processes; autoregressive, moving average and mixed models; model specification; model fitting and checking using Minitab. Inference: introduction to point and interval estimation; unbiasedness, consistency, efficiency; Cramer-Rao inequality; method of moments; maximum likelihood estimation; sufficiency; Rao-Blackwell theorem; hypothesis testing; likelihood-ratio tests.

Assessment: Examination (3 hours): 80% + Assignments: 20%