• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Classification Advanced
  • Course subject Statistics
  • Areas of interest Actuarial Studies
  • Academic career PGRD
  • Course convener
    • Dr Boris Buchmann
  • Mode of delivery In Person
  • Offered in Second Semester 2015
    See Future Offerings

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

Upon successful completion, students will have the knowledge and skills to:

On completion of this course students should have an understanding of and be able to apply the techniques outlined in the course description.

Other Information

 See the course outline on the College courses page. Outlines are uploaded as they become available. 

Indicative Assessment

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

The ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.

Workload

10 hours per week.

Requisite and Incompatibility

To enrol in this course you must have completed STAT2001 or STAT6039, or be enrolled in the Master of Applied Statistics

Prescribed Texts


 

Specialisations

Fees

Tuition fees are for the academic year indicated at the top of the page.  

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution 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
Domestic fee paying students
Year Fee
2015 $3414
International fee paying students
Year Fee
2015 $4350
Note: Please note that fee information is for current year only.

Offerings and Dates

The list of offerings for future years is indicative only

Second Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
2200 20 Jul 2015 07 Aug 2015 31 Aug 2015 30 Oct 2015 In Person N/A

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