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.
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%)
STAT2X11 and (MATH1X03 or MATH1907 or MATH1X23 or MATH1933).Prohibitions
STAT3911 or STAT3903 or STAT3003 or STAT3905 or STAT3005