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The Chinese University of Hong Kong
Homework sets (30%)
Midterm Examination (30%)
Final examination (40%)
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In this course we will develop techniques for incorporating randomness in models of real-world phenomena and study how to analyze such models using tools from probability and statistics. Specifically, we will first study econometric models that arise in the business, finance, and more generally, social sciences areas, and see how they can be used for forecasting and policy analysis purposes. In the process, we will develop the necessary statistical machinery to analyze those models. Then, we will cover the basics of stochastic processes, with particular emphasis on the theory of Markov chains. Applications, such as queueing systems, random walks and birth-death processes, will be used to illustrate the theory.
Students should have workable knowledge in basic probability and statistics, at the level of SEEM 2430 or equivalent.
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