Stochastic processes and applications

2026/2027

Учебный год

ENG

Обучение ведется на английском языке

4

Кредиты

Кто читает:

Департамент больших данных и информационного поиска

Статус:

Курс обязательный

Когда читается:

3-й курс, 1, 2 модуль

Преподаватели

Кириллова Мария Андреевна

Лукьянченко Петр Павлович

Course Syllabus

Abstract

This course is conducted at Data Science and Business Analytics program and is provided to 3rd-year undergraduates who have studied a course covering basic probability and statistical inference. A half of this course introduces concepts of Markov chains, random walks, martingales. The course requires basic knowledge in probability theory and linear algebra. It introduces students to the modeling, quantification and analysis of uncertainty. The main objective of this course is to developthe skills needed to do empirical research in fields operating with a concept of Stochastic processes and its applications. The course aims to provide students with techniques and receipts for estimation and assessment of quality of economic models with time series data.