UnitLevel 3Undergraduate

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 2025 in Semester 2 at Clayton. It has no prerequisites and unlocks 3 units.

Credit points
6
Offered in 2025
Semester 2
Clayton
Assessment
Exam 50%
and 1 other task

This is the 2025 handbook entry. See the 2027 entry.

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Requisites

Before MTH3260

No prerequisites or corequisites besides the enrolment rules below.

Enrolment rules

PREREQUISITE: You must have passed one unit from MTH2232 or ETC2520 or be enrolled in the Master of Mathematics or the Master of Financial Mathematics.

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 2025

Teaching periodCampusMode
Second semesterClaytonOn campus

Assessment

  • Continuous assessmentDemonstration
    50%
  • Final assessment - Exam (3 hours and 10 minutes)Examination
    50%

Learning outcomes

When you finish this unit, you should be able to:

  1. 1

    Explain the central role of likelihood models in statistics

  2. 2

    Construct likelihood models for stochastic processes using graphical models

  3. 3

    Develop and apply likelihood ratio tests for model comparison and selection

  4. 4

    Use the principle of maximum likelihood to estimate parameters of a model

  5. 5

    Apply Bayesian alternatives for model comparison and estimation

  6. 6

    Assess whether an estimator has desirable properties

  7. 7

    Describe the asymptotic behaviour of time averages for stationary processes

  8. 8

    Perform model selection and estimation tasks for stationary, ARMA and diffusion processes.

Workload and teaching

  • Applied sessions22 hours
  • Seminars36 hours
  • Teaching approachActive learning
  • Three 1-hour seminars
  • One 2-hour applied class (in weeks 2-12) and
  • 7 hours of independent study per week

Active learning will occur in lectures and applied classes.

Where it fits

MTH3260 is part of 7 areas of study in the 2025 handbook.

Contacts

Chief Examiners
Associate Professor Jonathan Keith
Unit Coordinators
Associate Professor Jonathan Keith

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 3 units, including MTH5210, MTH5510 and MTH5520.

When is MTH3260 offered?

In 2025, MTH3260 runs in Semester 2 at Clayton.

Does MTH3260 have an exam?

Yes. The exam is worth 50% 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.

More details

Credit points
6
Level
3
Study level
Undergraduate
Faculty
Faculty of Science
Organisational unit
School of Mathematics
Type
Coursework
EFTSL
0.125
Student contribution
SCA Band 1
Study abroad
Available