Francesco GIORDANO | STOCHASTIC PROCESSES
Francesco GIORDANO STOCHASTIC PROCESSES
cod. 0222400014
STOCHASTIC PROCESSES
| 0222400014 | |
| DEPARTMENT OF ECONOMICS AND STATISTICS | |
| EQF7 | |
| STATISTICAL SCIENCES FOR FINANCE | |
| 2024/2025 |
| YEAR OF COURSE 2 | |
| YEAR OF DIDACTIC SYSTEM 2014 | |
| AUTUMN SEMESTER |
| SSD | CFU | HOURS | ACTIVITY | |
|---|---|---|---|---|
| SECS-S/01 | 5 | 30 | LESSONS |
| Exam | Date | Session | |
|---|---|---|---|
| GIORDANO | 16/12/2024 - 09:00 | SESSIONE ORDINARIA | |
| GIORDANO | 16/12/2024 - 09:00 | SESSIONE DI RECUPERO | |
| GIORDANO | 14/01/2025 - 09:00 | SESSIONE ORDINARIA | |
| GIORDANO | 14/01/2025 - 09:00 | SESSIONE DI RECUPERO |
| Objectives | |
|---|---|
| KNOWLEDGE AND UNDERSTANDING. THE COURSE REVISES, IN A MORE COMPLEX CONTEXT, SOME TOOLS RELATED TO THE PROBABILITY THEORY AND PROPOSES NEW GENERALIZATIONS THAT WILL BE USED IN EMPIRICAL APPLICATIONS. APPLYING KNOWLEDGE AND UNDERSTANDING. ONE AIM OF THE COURSE IS RELATED TO THE PRESENTATION OF THE DISCRETE TIME STOCHASTIC PROCESSES. THE THEORETICAL ARGUMENTS WILL BE SHOWN IN EMPIRICAL APPLICATIONS BASED ON THE USE OF STATISTICAL SOFTWARE. |
| Prerequisites | |
|---|---|
| STATISTICS WITH ELEMENTS OF PROBABILITY. |
| Contents | |
|---|---|
| (30 HOURS OF LESSONS: 5 HOURS OF EXERCISES LESSONS) LIMIT THEOREMS: CONVERGENCE IN PROBABILITY, CONVERGENCE IN DISTRIBUTION AND CONVERGENCE IN QUADRATIC MEAN. WEAKLY AND STRONGLY STATIONARY STOCHASTIC PROCESSES. NONSTATIONARY STOCHASTIC PROCESSES. MARKOV PROCESSES. LINEAR STOCHASTIC PROCESSES: ARMA. SOME EXAMPLES OF STOCHASTIC PROCESSES USED IN THE ANALYSIS OF FINANCIAL TIME SERIES. ARIMA AND OPTIMAL FORECASTS. EMPIRICAL APPLICATIONS. |
| Teaching Methods | |
|---|---|
| ALL LECTURES (30 HOURES) WILL BE HELD IN CLASSROOM. DURING THE COURSE THEORETICAL TOPICS ARE BALANCED WITH THEIR PRACTICAL ISSUES IN COMPUTING ROOM. |
| Verification of learning | |
|---|---|
| THE FINAL EXAM IS CHARACTERIZED BY TWO PARTS: THE WRITTEN AND THE ORAL EXAMINATION. THE FIRST PART (1H) INCLUDES FOUR EXERCISES ON THE DIFFERENT SUBJECTS OF THE COURSE WHEREAS THE ORAL PART (ABOUT 20 MIN) IS BASED ON A SHORT DISCUSSION ABOUT THE WRITTEN PART AND AN INTERVIEW. EACH EXERCISE OF THE FIRST PART IS EVALUATED BY THE TEACHER WITH A MARK OF 1 (ONE) AT MAXIMUM. THE ORAL INTERVIEW CAN BE TAKEN IF THE STUDENT HAS PASSED THE WRITTEN EXAM WITH A MINIMUM MARK OF 2/4. THE FINAL MARK IS THE OVERALL MARK OBTAINED BY THE DISCUSSION OF THE FIRST PART AND THE INTERVIEW FOR THE SECOND PART OF THE EXAM. |
| Texts | |
|---|---|
| ROSS S. M. STOCHASTIC PROCESSES WILEY CHAPTERS 1 AND 7. AND PRIESTLEY M. B. SPECTRAL ANALYSIS AND TIME SERIES VOL I, ACADEMIC PRESS CHAPTERS 1 - 3, 5. |
| More Information | |
|---|---|
| FURTHER MATERIAL WILL BE PUBLISHED ON THE WEBSITE. |
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