STAT3011 Stochastic Processes and Time Series

General Information

This page contains information on the Senior normal Unit of Study STAT3011 Stochastic Processes and Time Series.

• Taught in Semester 1.
• Credit point value: 6.
• Classes per week: Three lectures and one tutorial, and one computer laboratory session in Weeks 8 to 13 (Time Series).
• Lecturer(s): Prof E. Seneta and A/Prof M. S. Peiris .

Please refer to the Senior Mathematics and Statistics Handbook for all questions relating to Senior Mathematics and Statistics. In particular, see the STAT3011 handbook entry for further information relating to STAT3011.

You may also view the Faculty Handbook entry for STAT3011 in the central units of study database.

Stochastic Processes Week 1-7

• Information Sheet for STAT3011/3911.
• Class reps. STAT3011: James Wren (jwre3390), Jing Cao (Tegan)(jcao1480)
• Class reps. STAT3911: Robert Urbaniak (rurb6417),Jia Jian Yang (Benny) (jyan5064), Diane Loo (dloo2801)
• Lecture Notes for Lectures in Common.
• Brownian motion.
• Poisson Process.
• Poisson Process Example 1.
• Poisson Process Example 2.
• Poisson Process: Time to n-th Arrival.
• Smith, Brown and Jones: Example 4.2.
• Examples 4.3 and 4.4.
• Examples 4.5 and 4.6.
• Example 4.7.
• Example 4.8.
• Section 1.7.
• Markov Chain Monte Carlo.

Tutorial Question Sheets

• Tutorial 1.
• Tutorial 2.
• Tutorial 3.
• Tutorial 4.
• Tutorials 5 & 6.
• Tutorial 7.

Tutorial Solution Sheets

• Solutions 1
• Solutions 2
• Solutions 3
• Solutions 4
• Solutions 5&6
• Solutions 7

Assignment Sheets

• Assignment1
• Assignment2

Assignment Solutions

• Assignment Solutions 1
• Assignment Solutions 2

Time Series Analysis Week 8-13

• Information Sheet for for STAT3011/3911.

Incomplete Summary Lecture Notes

• Time Series Lecture Notes - I.
• Time Series Lecture Notes - II.
• Time Series Lecture Notes - III.
• Time Series Lecture Notes - IV.

Tutorial Question Sheets and Computer Practicals

• Time Series Set 1 (Week 8) -- Solutions to Time Series Set 1
• Time Series Set 2 (Week 9) -- Solutions to Time Series Set 2 -- Prac. Sols Set 2
• Time Series Set 3 (Week 10) -- Solutions to Time Series Set 3 -- Prac. Sols Set 3
• Time Series Set 4 (Week 11) -- Solutions to Time Series Set 4
• Time Series Set 5 (Week 12) -- Solutions to Time Series Set 5
• Time Series Set 6 (Week 13) -- Solutions to Time Series Set 6

Assignments

• Assignment 1 (Due: 11 May) -- Solutions to Assignment 1
• Assignment 2 (Due: 8 June) -- Solutions to Assignment 2

Practice Quiz

A tutorial quiz (worth 6% towards your final mark) will be in your tutorial class on Friday 25 May at 12 noon.
Required knowledge: Week 8 to Week 11 (both inclusive).

• Practice Quiz (Quiz from 2011)
• Practice Quiz Solutions

Timetable

Last revised 30/03/12

All rooms are in the Carslaw building unless otherwise indicated.