STAT7018 Stochastic Modelling
| Offered By | Rsch Sch of Finance, Actuarial Studies & App Stats |
|---|---|
| Academic Career | Graduate Coursework |
| Course Subject | Statistics |
| Offered in | Second Semester, 2012 and Second Semester, 2013 |
| 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. |
| Programs | Graduate Certificate in Actuarial Techniques, Graduate Certificate in Actuarial Techniques, Master of Actuarial Statistics, Master of Actuarial Statistics, Master of Actuarial Studies, Master of Actuarial Studies, Master of Applied Statistics, and Master of Applied Statistics |
| Other Information |
Please refer to Course Website |
The information published on the Study at ANU 2012 website applies to the 2012 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2011 website.
