Stochastic Processes and Time Series (STAT3011)


Section I of this course will introduce the fundamental concepts of applied stochastic processes and Markov chains used in financial mathematics, mathematical statistics, applied mathematics and physics. Section II of the course establishes some methods of modeling and analysing situations which depend on time. Fitting ARMA models for certain time series are considered from both theoretical and practical points of view. Throughout the course we will use the S-PLUS (or R) statistical packages to give analyses and graphical displays.

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Further unit of study information


Three 1 hour lectures and one 1 hour tutorial per week; ten 1 hour computer laboratories per semester.


One 2 hour exam, assignments and/or quizzes, and computer practical reports (100%)

Faculty/department permission required?


Unit of study rules

Prerequisites and assumed knowledge

(STAT2011 or STAT2911) and (MATH1003 or MATH1903 or MATH1907).


STAT3003, STAT3005, STAT3903, STAT3905, STAT3911

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If you are from another Australian tertiary institution you may be permitted to underake cross-institutional study in one or more units of study at the University of Sydney.

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