Probability and Statistics II.

Lecturer:

Tutor:

Supervisor:

Department of Technical Mathematics

Synopsis:

A course in applied probability and mathematical statistics

Requirements:

Syllabus of lectures:

Random process, characteristics of random processes, stationarity, convergence of random series, continuity and derivative of processes, Markov processes, stationary distribution, systems of Kolmogoroff differential equations, time series analysis, decomposition, AR, MA, ARMA models, Box-Jenkins methodology.

Syllabus of tutorials:

Random process, characteristics of random processes, stationarity, convergence of random series, continuity and derivative of processes, Markov processes, stationary distribution, systems of Kolmogoroff differential equations, time series analysis, decomposition, AR, MA, ARMA models, Box-Jenkins methodology.

Study Objective:

Study materials:

ISBN: 0-691-04289-6

[2] Koralov L. B., Sinai Y. G.: Theory of Probability and Random Processes. Springer, 2006,

400 pp., ISBN: 3-540-25484-6

Note:

Further information:

No time-table has been prepared for this course

The course is a part of the following study plans: