Course - Stochastic Modeling - TMA4265
Stochastic Modeling
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About the course
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 compulsory work (projects).
Compulsory assignments
- Work
Further on evaluation
The written final exam is the basis for the grade awarded in the course. Compulsory work has to be approved in order to be allowed to take the exam. Detailed information about compulsory activities will be given at the start of the semester.
Retake of the written exam may be given as an oral examination. The retake exam is in August. Students are free to choose Norwegian or English for written assessments.
Recommended previous knowledge
The course TMA4240/TMA4245 Statistics or equivalent.
Course materials
Will be announced at the start of the semester.
Credit reductions
| Course code | Reduction | From |
|---|---|---|
| SIF5072 | 7.5 sp | |
| ST2101 | 7.5 sp |
Other pages about the course
Subject areas
- Statistics
- Technological subjects
Contact information
Course coordinator
Department with academic responsibility
Examination
Examination
Ordinary examination - Autumn 2024
School exam
The specified room can be changed and the final location will be ready no later than 3 days before the exam. You can find your room location on Studentweb.