Stochastic Processes and Time Series (STAT3011)

UNIT OF STUDY

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.

Our courses that offer this unit of study

Further unit of study information

Classes

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

Assessment

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

Faculty/department permission required?

No

Unit of study rules

Prerequisites and assumed knowledge

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

Prohibitions

STAT3911, STAT3003, STAT3005, STAT3903, STAT3905

Study this unit outside a degree

Non-award/non-degree study

If you wish to undertake one or more units of study (subjects) for your own interest but not towards a degree, you may enrol in single units as a non-award student.

Cross-institutional study

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.