TMA4265 - Stochastic Modeling

About

Examination arrangement

Examination arrangement: Portfolio assessment
Grade: Letters

Evaluation form Weighting Duration Examination aids Grade deviation
Work 20/100
Written examination 80/100 4 hours C

Course content

Important models for multivariate random variables: Markov chains, Poisson processes, birth-and-death processes in continuous time, Brownian motion and Gaussian processes. Approaches for stochastic simulation of random variables.

Learning outcome

1. Knowledge. The student has basic knowledge about multivariate statistical modeling and stochastic processes in the time domain. The student has acquired more detailed knowledge about Markov chains, Poisson processes, birth and death
processes, and gaussian processes. The student knows the fundamental principles of simulation of stochastic processes.
2. Skills. The student is able to formulate stochastic process models in the time domain
and provide qualitative and quantitative analyses of such models. The student can further use simulation to study the properties of multivariate statistical models.

Learning methods and activities

Lectures, exercises and works (projects). Portfolio assessment is the basis for the grade awarded in the course. This portfolio comprises a written final examination (80%) and works (projects) (20%). The results for the constituent parts are to be given in %-points, while the grade for the whole portfolio (course grade) is given by the letter grading system. Retake of examination may be given as an oral examination.
The lectures may be given in English.

Compulsory assignments

  • Work

Further on evaluation

In the case that the student receives an F/Fail as a final grade after both ordinary and re-sit exam, then the student must retake the course in its entirety. Submitted work that counts towards the final grade will also have to be retaken. For more information about grading and evaluation. see «Teaching methods and activities».

Specific conditions

Exam registration requires that class registration is approved in the same semester. Compulsory activities from previous semester may be approved by the department.

Course materials

Will be announced at the start of the semester.

Credit reductions

Course code Reduction From To
SIF5072 7.5
ST2101 7.5

Timetable

Detailed timetable

Examination

Examination arrangement: Portfolio assessment

Term Statuskode Evaluation form Weighting Examination aids Date Time Room *
Autumn ORD Work 20/100
Autumn ORD Written examination 80/100 C 2017-12-11 09:00
  • * The location (room) for a written examination is published 3 days before examination date.
If more than one room is listed, you will find your room at Studentweb.