ANU - STUDYAT - Stochastic Modelling

Offered By:	School of Finance and Applied Statistics
Academic Career:	Graduate Coursework
Course Subject:	Statistics
Offered in:	Second Semester, 2010
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:	Mid-semester assignment 20% Final exam (3 hours) 80%
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.
Prescribed Texts:	See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT7018.pdf
Preliminary Reading:	See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT7018.pdf
Indicative Reading List:	See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT7018.pdf
Programs:	Graduate Certificate in Actuarial Studies, Graduate Certificate in Actuarial Techniques, Master of Applied Statistics, Master of Actuarial Statistics, and Master of Actuarial Studies
Other Information:	For further information see: http://ecocomm.anu.edu.au/courses/course.asp?code=STAT7018
Academic Contact:	See http://ecocomm.anu.edu.au/courses/course.asp?code=STAT7018

Stochastic Modelling STAT7018 - Details