- Code STAT7018
- Unit Value 6 units
- Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
- ANU College ANU College of Business and Economics
- Course subject Statistics
- Areas of interest Actuarial Studies, Finance, Statistics
- Academic career PGRD
- Dr Boris Buchmann
- Mode of delivery In Person
Second Semester 2016
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.
Upon successful completion, students will have the knowledge and skills to:
Upon successful completion of the requirements for this course, students should have the
knowledge and skills to:
• Demonstrate the concepts and investigation of the long-run behavior, respectively, of simple stochastic processes in discrete time; namely, Markov chains.
• Discuss in detail the various topics regarding some important forms of continuous-time stochastic processes including
o Demonstrate an in-depth knowledge of Poisson Processes
o other Markov pure jump processes
o Brownian motion
o Other related Gaussian processes
See the course outline on the College courses page. Outlines are uploaded as they become available.
- Mid-semester assignment 20%
- Final exam (3 hours) 80%
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10 hours per week.
Requisite and Incompatibility
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:
- 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.
Offerings, Dates and Class Summary Links
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
|Class number||Class start date||Last day to enrol||Census date||Class end date||Mode Of Delivery||Class Summary|
|8074||18 Jul 2016||29 Jul 2016||31 Aug 2016||28 Oct 2016||In Person||N/A|