MTH3260 Statistics of stochastic processes
Faculty of Science
MTH3260 Statistics of stochastic processes is a level 3, 6-credit-point, undergraduate unit from the Faculty of Science, offered in 2021 in Semester 2 at Clayton. It has no prerequisites and unlocks 4 units.
- Credit points
- 6
- Offered in 2021
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
This is the 2021 handbook entry. See the 2027 entry.
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Requisites
Before MTH3260
No prerequisites or corequisites besides the enrolment rules below.
After MTH3260
4 units list MTH3260 as a prerequisite or corequisite.
Enrolment rules
PREREQUISITE: You must be enrolled in the Master of Financial Mathematics or have passed one of the following units: MTH2222, MTH2232 or ETC2520
Overview
Many practical experiments involve repeated measurements made over a period of time, where the individuals or systems being observed are evolving during the study period. Examples of this kind of data arise in signal processing, financial modelling and mathematical biology. For experiments of this kind, standard statistical methods that assume data points are independent and identically distributed (iid) are of limited value, due to dependencies among measurements. This unit will introduce statistical methods for such processes.
Topics: Review of fundamental statistics: their distributions, properties and limitations; Stochastic processes: Markov, ARMA, Stationary and diffusion processes; Likelihood models, Graphical models, Bayesian models; Decision theory, Likelihood ratio tests, Bayesian model comparison; Sufficient statistics, Maximum likelihood estimation, Bayesian estimation; Exponential families; Convergence of random variables and measures; Properties of estimators: bias, consistency, efficiency; Laws of large numbers and ergodic theorems, Central limit theorems; Statistics for stationary processes; Statistics for ARMA processes; Statistics for diffusion processes
Offerings in 2021
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- In-semester assessmentThreshold hurdle40%
- Examination (3 hours and 10 minutes)Threshold hurdle60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
Explain the central role of likelihood models in statistics
- 2
Construct likelihood models for stochastic processes using graphical models
- 3
Develop and apply likelihood ratio tests for model comparison and selection
- 4
Use the principle of maximum likelihood to estimate parameters of a model
- 5
Apply Bayesian alternatives for model comparison and estimation
- 6
Assess whether an estimator has desirable properties
- 7
Describe the asymptotic behaviour of time averages for stationary processes
- 8
Perform model selection and estimation tasks for stationary, ARMA and diffusion processes.
Workload and teaching
- Lectures36 hours
- Applied sessions16.5 hours
- Teaching approachActive learning
- Three 1-hour lectures and
- One 1.5-hour applied class per week (in weeks 2-12)
Active learning will occur in lectures and applied classes.
Where it fits
MTH3260 is part of 7 areas of study in the 2021 handbook.
- APPLMTH07Additional extended major elective unitsApplied mathematicsNo reviews yet
- FININMAT03Level 2 and 3 core unitsFinancial and insurance mathematicsNo reviews yet
- MTHSTAT05Level 3 unitsMathematical statisticsNo reviews yet
- MTHSTAT07Level 2 and 3 unitsMathematical statisticsNo reviews yet
- MATHS09Mathematics elective unitsMathematicsNo reviews yet
- MATHS11Mathematics elective unitsMathematicsNo reviews yet
- MATPURE07Pure mathematics elective unitsPure mathematicsNo reviews yet
Contacts
- Unit Coordinators
- Associate Professor Jonathan Keith
- Associate Professor Tianhai Tian
- Chief Examiners
- Associate Professor Tianhai Tian
Common questions
What are the prerequisites for MTH3260?
MTH3260 has no prerequisites, but enrolment rules apply.
What can I take after MTH3260?
MTH3260 is a prerequisite or corequisite for 4 units, including BEX5460, MTH5210, MTH5510 and MTH5520.
When is MTH3260 offered?
In 2021, MTH3260 runs in Semester 2 at Clayton.
Does MTH3260 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.
Which majors and minors include MTH3260?
MTH3260 is part of Applied mathematics; Financial and insurance mathematics; Mathematical statistics; Mathematics; and Pure mathematics.