STAT7018 Stochastic Modelling
| Offered By | School of Finance, Actuarial Studies & Appl Stats |
|---|---|
| Academic Career | Graduate Coursework |
| Course Subject | Statistics |
| Offered in | Second Semester, 2010 and Second Semester, 2011 |
| Unit Value | 6 units |
| Course Description |
This course introduces students to the theory of basic discrete and continuous time Markov processes and also Gaussian processes including Brownian motion and related processes. Topics include: Review of random variable characterisations, including cumulative distribution functions, probability density and mass functions, moment generating functions, joint, marginal and conditional distributions and conditional expectations and variances; Markov chains, including state-space decomposition, first-step analysis and determination of stationary and steady state distributions; Markov jump process theory, including embedded Markov chains, homogeneous and inhomogeneous Poisson processes and birth and death processes; Gaussian processes, including Brownian motion, geometric Brownian motion, Brownian bridges, integrated Brownian motion and White Noise. |
| Learning Outcomes |
On completion of this course students should have an understanding of and be able to apply the techniques outlined in the course description. |
| Indicative Assessment |
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| Workload | 10 hours per week. |
| Course Classification(s) | AdvancedAdvanced courses are designed for students having reached 'first degree' level of assumed knowledge, which provide a deep understanding of contemporary issues; or 'second degree' and higher levels of knowledge; or for transition to research training programs. |
| Areas of Interest | Actuarial Studies |
| Eligibility | At least an average of 65% (or equivalent) in the final two years of an Australian undergraduate degree with at least two years of university level statistical and mathematical study including calculus and linear algebra, as well as mathematical statistics and linear regression theory. |
| Prescribed Texts |
See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT7018.pdf
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| Preliminary Reading |
See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT7018.pdf
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| Indicative Reading List | See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT7018.pdf |
| Programs | Graduate Certificate in Actuarial Studies, Graduate Certificate in Actuarial Techniques, Master of Applied Statistics, Master of Actuarial Statistics, and Master of Actuarial Studies |
| Other Information | For further information see: http://ecocomm.anu.edu.au/courses/course.asp?code=STAT7018 |
| Academic Contact | See http://ecocomm.anu.edu.au/courses/course.asp?code=STAT7018 |
The information published on the Study at ANU 2010 website applies to the 2010 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2009 website.
