Stochastic Modeling

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.

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.

Lectures, exercises and compulsory work (projects).