Inhalt

[ 951MATSSPRK14 ] KV Stochastic Processes

Versionsauswahl
Workload Education level Study areas Responsible person Hours per week Coordinating university
4 ECTS M1 - Master's programme 1. year Statistics Andreas Futschik 2 hpw Johannes Kepler University Linz
Detailed information
Pre-requisites keine
Original study plan Master's programme Statistics 2021W
Objectives Basic concepts of Stochastic Processes and Time Series
Subject Review of probability: Conditional probabilities and conditional expectations

Basic concepts for stochastic processes. Discrete and continuous state and discrete and continuous time stochastic processes

Discrete-time Markov chains

Introduction to point processes, renewal processes, exponential distribution and the Poisson process

MA-, ARMA-, ARIMA- and GARCH processes

Simulation of stochastic processes

Criteria for evaluation Exam, presentation of solved homeworks.
Methods Lecture, discussion of homeworks.
Language English
Study material Wagner H. Skriptum Stochastische Prozesse und Zeitreihenanalyse

Bailey N.T.J. (1964). The Elements of Stochastic Processes

Changing subject? No
Corresponding lecture 5MSSPKV: KV Stochastische Prozesse und Zeitreihenmodellierung (4 ECTS)
On-site course
Maximum number of participants 40
Assignment procedure Assignment according to priority