• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Course subject Statistics
  • Areas of interest Statistics
  • Academic career UGRD
  • Course convener
    • Dr Dale Roberts
  • Mode of delivery In Person
  • Co-taught Course
  • Offered in Second Semester 2020
    See Future Offerings

This research-led course provides an introduction to recent developments in Random Matrix Theory and Online Learning that addresses the challenges and opportunities posed by the availability of large amounts of data.

In the first instance, we will review some classic results from multivariate statistical theory, matrix analysis, and probability theory. Then we will present the salient statistical features of big data (e.g., heterogeneity, noise accumulation, spurious correlation, and incidental endogeneity) and show how this impacts on traditional statistical methods and theory.

We follow with an introduction to modern Random Matrix theory and its application in statistics. Applications presented may include topics such as high-dimensional statistical inference, large covariance matrices, large-scale statistical learning through subsampling, sparsification of large matrices, principal component analysis, and dimension reduction.

We conclude with an introduction to the theory of online learning (aka. sequential prediction) to handle the situation of streaming data.

Students will use and learn about the latest computational tools to work with big and streaming data sets. Example data sets may be drawn from areas such finance, web analytics, digital marketing, and satellite imagery data.

Learning Outcomes

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

  1. Explain how statistical features of big data impact traditional statistical methods and theory;
  2. Discuss Random Matrix theory and its application in statistics on large scale;
  3. Summarise the theory of sequential prediction and management of streaming data; and,
  4. Demonstrate the use of computational tools to work with big and streaming data sets.

Indicative Assessment

  1. Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations and other assessment as appropriate (100) [LO 1,2,3,4]

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Workload

Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time.

Inherent Requirements

Not applicable

Requisite and Incompatibility

To enrol in this course you must have completed all of: (STAT2001 or STAT2013) and (STAT2008 or STAT2014 or STAT3008) and (MATH1113 or MATH1014 or MATH1116).

Prescribed Texts

Information about the prescribed textbook will be available via the Class Summary

Assumed Knowledge

Students are recommended to have completed or be enrolled in STAT3040

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
Note: Please note that fee information is for current year only.

Offerings, Dates and Class Summary Links

The list of offerings for future years is indicative only.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.

Second Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
7997 27 Jul 2020 03 Aug 2020 31 Aug 2020 30 Oct 2020 In Person N/A

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