Mathematics & Statistics

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  • CAS MA 585: Time Series and Forecasting
    Undergraduate Prerequisites: CAS MA 581; or consent of instructor.
    Autocorrelation and partial autocorrelation functions; stationary and nonstationary processes; ARIMA and Seasonal ARIMA model identification, estimation, diagnostics, and forecasting. Modeling financial data via ARCH and GARCH models. Volatility estimation; additional topics, including long-range dependence and state-space models.
  • CAS MA 589: Computational Statistics
    Undergraduate Prerequisites: CAS MA 213; AND CASMA242 (OR CAS MA 442), AND CASMA581; or equivalent with consent of instructor.
    Topics from computational statistics that are relevant to modern statistical applications: random number generation, sampling, Monte Carlo methods, computational inference, MCMC methods, graphical models, data partitioning, and bootstrapping. Emphasis on developing solid conceptual understanding of the methods through applications.