Discrete State Stochastic Processes. An introduction to Brownian motion, stationary processes and martingales. Statistical Analysis of Time Series. Special topics might include vector autoregression, cross-spectral analysis, causality testing or other issues of current interest. Statistics 511 or Economics 775 is the standard prerequisite.
Student evaluation is based on exams, homework, and a term paper.
Lectures and problem sets including computer exercises are the main methods of instruction. Sequential Analysis and Design. 426 or equivalent. Introduction to Nonparametric Statistics. 426 or permission of instructor.