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Australian National University

  • Code STAT7018
  • Unit Value 6 units
  • Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • Offered in Second Semester 2014
  • Classification Advanced
  • Course subject Statistics
  • Areas of interest Actuarial Studies
  • Academic career Graduate
  • Course convener
    • Dr Boris Buchmann

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

  • Mid-semester assignment 20%
  • Final exam (3 hours) 80%

Workload

10 hours per week.

Requisite and Incompatibility

To enrol in this course you must have completed STAT2001/STAT6039 or enrolment in the Master of Applied Statistics

Prescribed Texts

See Course Outline:  http://ecocomm.anu.edu.au/courses/outline/STAT7018.pdf

 

Other Information

Please refer to Course Website

Fees

Tuition fees are for the academic year indicated at the top of the page.  Tuition fees will be published by 1 October for the next year.

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Students continuing in their current program of study will have their tuition fees indexed annually from the year in which you commenced your program. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
Band 2
Unit value:
6 units

If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees.  Where there is a unit range displayed for this course, not all unit options below may be available.

Units EFTSL
6.00 0.12500

Course Fees:

Domestic fee paying students

Year Commencing Fee
1994-2003 $2916
2004 $2916
2005 $3234
2006 $3240
2007 $3240
2008 $3240
2009 $3240
2010 $3240
2011 $3240
2012 $3240
2013 $3240
2014 $3246

International fee paying students

Year Commencing Fee
1994-2003 $3234
2004 $3234
2005 $3234
2006 $3534
2007 $3618
2008 $3618
2009 $3618
2010 $3942
2011 $3942
2012 $3942
2013 $3942
2014 $3948

Terms

Second Semester, 2014

Class number Class start date Last day to enrol Census date Class end date
7816 21 Jul 2014 08 Aug 2014 31 Aug 2014 30 Oct 2014

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