2011-2012 Bulletin – PDF - SEAS Bulletin - Columbia University

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STAT W4240x Data mining
3 pts. Professors Madigan and Wood.
Prerequisite: COMS W1003, W1004, W1005,
W1007, or the equivalent. Corequisites: Either
STAT W3105 or W4105, and either STAT W3107
or W4107. Data Mining is a dynamic and fast
growing field at the interface of Statistics and
Computer Science. The emergence of massive
datasets containing millions or even billions of
observations provides the primary impetus for the
field. Such datasets arise, for instance, in largescale
retailing, telecommunications, astronomy,
computational and statistical challenges. This
course will provide an overview of current
research in data mining and will be suitable for
graduate students from many disciplines. Specific
topics covered with include databases and data
warehousing, exploratory data analysis and
visualization, descriptive modeling, predictive
modeling, pattern and rule discovery, text mining,
Bayesian data mining, and causal inference.
STAT W4290y Statistical methods in finance
3 pts. Professor Pospisil.
Prerequisite: STAT W3107 or W4107. A fastpaced
introduction to statistical methods used in
quantitative finance. Financial applications and
statistical methodologies are intertwined in all
lectures. Topics include regression analysis and
applications to the Capital Asset Pricing Model and
multifactor pricing models, principal components
and multivariate analysis, smoothing techniques
and estimation of yield curves statistical methods
for financial time series, value at risk, term
structure models and fixed income research, and
estimation and modeling of volatilities. Hands-on
experience with financial data.
STAT W4315x and y Linear regression models
3 pts. Instructor to be announced.
Prerequisites: STAT W3107 or equivalent, MATH
V2110 or the equivalent. Corequisites: MATH
V1101, V1102, and V2110. Simple and multiple
regression, including testing, estimation and
confidence procedures, modeling, regression
diagnostics and plots, polynomial regression, fixed
effects ANOVA and ANCOVA models, nonlinear
regression, multiple comparisons, colinearity
and confounding, model selection. Emphasis on
geometric approach to the theory and the use of a
statistical package to analyze data.
STAT W4325y Generalized linear models
3 pts. Professor Sobel.
Prerequisite: STAT W4315. Statistical methods
for rates and proportions, ordered and nominal
categorical responses, contingency tables, oddsratios,
exact inference, logistic regression, Poisson
regression, generalized linear models.
STAT W4330x Multilevel models
Professor Chen.
Prerequisites: STAT W4315. Theory and practice,
including model-checking, for random and mixedeffects
models (also called hierarchical, multilevel
models). Extensive use of the computer to
analyze data.
STAT W4335x Sample surveys
3 pts. Professor Sobel.
Prerequisite: STAT W3107 or W4107. Introductory
course on the design and analysis of sample
surveys. How sample surveys are conducted,
why the designs are used, how to analyze survey
results, and how to derive from first principles
the standard results and their generalizations.
Examples from public health, social work, opinion
polling, and other topics of interest.
STAT W4413y Nonparametric statistics
3 pts. Professor Sen.
Prerequisite: STAT W3107 or W4107. Statistical
inference without parametric model assumption.
Hypothesis testing using ranks, permutations, and
order statistics. Nonparametric analogs of analysis
of variance. Non-parametric regression, smoothing
and model selection.
STAT W4437x and y Time series analysis
3 pts. Professors Davis, Hernandez-del-Valle,
and Hueter.
Prerequisite: STAT W4315 or equivalent. Least
squares smoothing and prediction, linear systems,
Fourier analysis, and spectral estimation. Impulse
response and transfer function. Fourier series, the
fast Fourier transform, autocorrelation function, and
spectral density. Univariate Box-Jenkins modeling
and forecasting. Emphasis on applications.
Examples from the physical sciences, social
sciences, and business. Computing is an integral
part of the course.
STAT W4543y Survival analysis
Professor Shnaidman.
Prerequisite: STAT W4315. Survival distributions,
types of censored data, estimation for various
survival models, nonparametric estimation of
survival distributions, the proportional hazard
and accelerated lifetime models for regression
analysis with failure-time data. Extensive use of
the computer.
STAT W4606x and y Elementary stochastic
processes
3 pts. Professors Brown and Hogan.
Prerequisite: STAT W3105, W4105, or equivalent.
Review of elements of probability theory. Poisson
processes. Renewal theory. Wald’s equation.
Introduction to discrete and continuous time
Markov chains. Applications to queueing theory,
inventory models, branching processes.
STAT W4635y Stochastic Processes for
Finance
3 pts. Professor Vecer.
Prerequisite: STAT W3105, W4105, or equivalent.
This course covers theory of stochastic
processes applied to finance. It covers concepts
of Martingales, Markov chain models, Brownian
motion. Stochastic Integration, Ito’s formula
as a theoretical foundation of processes used
in financial modeling. It also introduces basic
discrete and continuous time models of asset price
evolutions in the context of the following problems
in finance: portfolio optimization, option pricing,
spot rate interest modeling.
STAT W4840x Theory of interest
3 pts. Professor Rajah.
Prerequisite: MATH V1101 or equivalent.
Introduction to the mathematical theory of interest
as well as the elements of economic and financial
theory of interest. Topics include rates of interest
and discount; simple, compound, real, nominal,
effective, dollar (time)-weighted; present, current,
future value; discount function; annuities; stocks
and other instruments; definitions of key terms
of modern financial analysis; yield curves; spot
(forward) rates; duration; immunization; and short
sales. The course will cover determining equivalent
measures of interest; discounting; accumulating;
determining yield rates; and amortization.
engineering 2011–2012