Statistics MS Breadth

Other graduate courses (200 or above) may be authorized by the advisor if they provide skills relevant to degree requirements or deal primarily with an application of statistics or probability and do not overlap courses in the student's program.

There is sufficient flexibility to accommodate students with interests in applications to business, computing, economics, engineering, health, operations research, and biological and social sciences.

Graduate courses cross-listed with the Statistics Department are approved as elective credit for the program, as are the following table of suggested courses.

May be taken for CR/S.

Biological Sciences

  • Biomedical Data Science
  • Biomedical Informatics
  • Genetics
  • Biosciences Interdisciplinary
Fundamentals of Molecular Evolution (BIO 244)

The inference of key molecular evolutionary processes from DNA and protein sequences. Topics include random genetic drift, coalescent models, effects and tests of natural selection, combined effects of linkage and natural selection, codon bias and genome evolution. Prerequisites: Biology core or BIO 82, 85 or graduate standing in any department, and consent of instructor.
Terms: Win | Units: 4

Theoretical Population Genetics (BIO 283)

Models in population genetics and evolution. Selection, random drift, gene linkage, migration, and inbreeding, and their influence on the evolution of gene frequencies and chromosome structure. Models are related to DNA sequence evolution. Prerequisites: calculus and linear algebra, or consent of instructor.
Terms: Win | Units: 3

Representations and Algorithms for Computational Molecular Biology (BIOMEDIN 214/BIOE 214/CS 274/GENE 214)
Topics: This is a graduate level introduction to bioinformatics and computational biology, algorithms for alignment of biological sequences and structures, computing with strings, phylogenetic tree construction, hidden Markov models, basic structural computations on proteins, protein structure prediction, molecular dynamics and energy minimization, statistical analysis of 3D biological data, integration of data sources, knowledge representation and controlled terminologies for molecular biology, microarray analysis, chemoinformatics, pharmacogenetics, network biology. Note: For Fall 2021, Dr. Altman will be away on sabbatical and so class will be taught from lecture videos recorded in fall of 2018. The class will be entirely online, with no scheduled meeting times. Lectures will be released in batches to encourage pacing. A team of TAs will manage all class logistics and grading. Firm prerequisite: CS 106B.
 
Terms: Aut | Units: 3-4
Intermediate Biostatistics: Analysis of Discrete Data (BIOMEDIN 233/EPI 261/STATS 261)
Methods for analyzing data from case-control and cross-sectional studies: the 2x2 table, chi-square test, Fisher's exact test, odds ratios, Mantel-Haenzel methods, stratification, tests for matched data, logistic regression, conditional logistic regression. Emphasis is on data analysis in SAS or R. Special topics: cross-fold validation and bootstrap inference.
 
Terms: Win | Units: 3
Consulting Workshop on Biomedical Data Science (BIODS 232)
The Data Studio is a collaboration between Spectrum (The Stanford Center for Clinical and Translational research and Education) and the Department of Biomedical Data Science (DBDS). The educational goal of this workshop is to provide data science consultation training for students. Data Studio is open to the Stanford community, and we expect it to have educational value for students and postdocs interested in biomedical data science. Most sessions are workshops that provide an extensive and in-depth consultation for a Medical School researcher based on research questions, data, statistical models, and other material prepared by the researcher with the aid of our facilitator. At the workshop, the researcher explains the project, goals, and needs. Experts in the area across campus will be invited and contribute to the brainstorming. After the workshop, the facilitator will follow up,helping with immediate action items and summary of the discussion. The last session of each month is devoted to drop-in consulting. DBDS faculty are available to provide assistance with your research questions. Skills required of practicing biomedical consultants, including exposed to biomedical and health science applications, identification of data science related questions, selection or development of appropriate statistical and analytic approaches to answer research needs. Students are required to attend the regular workshops and participate one to two consulting projects as team members under the supervision of faculty members or senior staff. Depending on the nature of the consulting service, the students may need to conduct numerical simulation, plan sample size, design study, and analyze client data. the formal written report needs to be completed at the end of consulting projects.
 
May be repeated for credit.
Prerequisites: course work in applied statistics, data analysis, and consent of instructor.
 
Terms: Aut, Win, Spr | Units: 1-2 | Repeatable 2 times (up to 4 units total)
 
Genomics (GENE 211)
The goal of this course is to explore different genomic approaches and technologies, to learn how they work from a molecular biology view point, and to understand how they can be applied to understanding biological systems. In addition, we teach material on how the data generated from these approaches can be analyzed, from an algorithmic perspective. The papers that are discussed are a mixture of algorithmic papers, and technological papers.
 
Terms: Win | Units: 3
Topics in Biomedical Data Science: Large-scale inference (BIODS 215)
The recent explosion of data generated in the fields of biology and medicine has led to many analytical challenges and opportunities for understanding human health. This graduate-level course focuses on methodology for large-scale inference from biomedical data. Topics include one-dimensional and multidimensional probability distributions; hypothesis testing and model comparison; statistical modeling; and prediction. This course will place a special emphasis on applications of these approaches to i) human genetic data; ii) hospital in-patient and health questionnaire data, which is increasingly available with the emergence of large precision initiatives like the UK Biobank and Precision Medicine Initiative; and iii) wearable and social network data.
 
Terms: Spr | Units: 2-3
 
Workshop in Biostatistics (BIODS 260)

Applications of statistical techniques to current problems in medical science. To receive credit for one or two units, a student must attend every workshop. To receive two units, in addition to attending every workshop, the student is required to write an acceptable one page summary of two of the workshops, with choices made by the student.

Terms: Aut, W, Spr | Units: 1-2 | Repeatable for credit

 

Modern Statistics for Modern Biology (BIOS 221/STATS 366)
Application based course in non-parametric statistics. Modern toolbox of visualization and statistical methods for the analysis of data, examples drawn from immunology, microbiology, cancer research and ecology. Methods covered include multivariate methods (PCA and extensions), sparse representations (trees, networks, contingency tables) as well as non-parametric testing (Bootstrap, permutation and Monte Carlo methods). Hands on, use R and cover many Bioconductor packages. Prerequisite: Working knowledge of R and two core Biology courses. Note that the 155 offering is a writing intensive course for undergraduates only and requires instructor consent.
 
 
Terms: Aut | Units: 3

 

Computational and Mathematical Engineering (CME)

Numerical Linear Algebra (CME 302)

Solution of linear systems, accuracy, stability, LU, Cholesky, QR, least squares problems, singular value decomposition, eigenvalue computation, iterative methods, Krylov subspace, Lanczos and Arnoldi processes, conjugate gradient, GMRES, direct methods for sparse matrices.

 

Prerequisites: CME 108, MATH 114, MATH 104.
 
Terms: Aut | Units: 3
Linear Algebra with Application to Engineering Computations (CME 200/ME 300A)

Computer based solution of systems of algebraic equations obtained from engineering problems and eigen-system analysis, Gaussian elimination, effect of round-off error, operation counts, banded matrices arising from discretization of differential equations, ill-conditioned matrices, matrix theory, least square solution of unsolvable systems, solution of non-linear algebraic equations, eigenvalues and eigenvectors, similar matrices, unitary and Hermitian matrices, positive definiteness, Cayley-Hamilton theory and function of a matrix and iterative methods.

Prerequisite: familiarity with computer programming, and MATH51.

 

Terms: Aut | Units: 3
Partial Differential Equations of Applied Mathematics (MATH 220)

First-order partial differential equations; method of characteristics; weak solutions; elliptic, parabolic, and hyperbolic equations; Fourier transform; Fourier series; and eigenvalue problems.

Prerequisite: Basic coursework in multivariable calculus and ordinary differential equations, and some prior experience with a proof-based treatment of the material as in Math 171 or Math 61CM.

 

Terms: Aut | Units: 3

 

Discrete Mathematics and Algorithms (CME 305/MS&E 316)

Topics: Basic Algebraic Graph Theory, Matroids and Minimum Spanning Trees, Submodularity and Maximum Flow, NP-Hardness, Approximation Algorithms, Randomized Algorithms, The Probabilistic Method, and Spectral Sparsification using Effective Resistances. Topics will be illustrated with applications from Distributed Computing, Machine Learning, and large-scale Optimization.

Prerequisites: CS 261 is highly recommended, although not required.

Terms: Win | Units: 3

 

 

Numerical Solution of Partial Differential Equations (CME306/MATH 226)

Hyperbolic partial differential equations: stability, convergence and qualitative properties; nonlinear hyperbolic equations and systems; combined solution methods from elliptic, parabolic, and hyperbolic problems. Examples include: Burger's equation, Euler equations for compressible flow, Navier-Stokes equations for incompressible flow. Prerequisites: MATH 220 or CME 302.

 
Terms: Spr | Units: 3

 

 

Randomized Algorithms and Probabilistic Analysis (CME309/CS 265)

Randomness pervades the natural processes around us, from the formation of networks, to genetic recombination, to quantum physics. Randomness is also a powerful tool that can be leveraged to create algorithms and data structures which, in many cases, are more efficient and simpler than their deterministic counterparts. This course covers the key tools of probabilistic analysis, and application of these tools to understand the behaviors of random processes and algorithms. Emphasis is on theoretical foundations, though we will apply this theory broadly, discussing applications in machine learning and data analysis, networking, and systems. Topics include tail bounds, the probabilistic method, Markov chains, and martingales, with applications to analyzing random graphs, metric embeddings, random walks, and a host of powerful and elegant randomized algorithms.

 
Prerequisites: CS 161 and STAT 116, or equivalents and instructor consent.
Terms: Win | Units: 3

 

 

Distributed Algorithms and Optimization (CME 323)

The emergence of clusters of commodity machines with parallel processing units has brought with it a slew of new algorithms and tools. Many fields such as Machine Learning and Optimization have adapted their algorithms to handle such clusters. Topics include distributed and parallel algorithms for: Optimization, Numerical Linear Algebra, Machine Learning, Graph analysis, Streaming algorithms, and other problems that are challenging to scale on a commodity cluster. The class will focus on analyzing parallel and distributed programs, with some implementation using Apache Spark and TensorFlow.

 
Recommended prerequisites: Discrete math at the level of CS 161 and programming at the level of CS 106A.
 
Terms: Spr | Units: 3

 

 

Convex Optimization I (CME 364A/EE 364A)
onvex sets, functions, and optimization problems. The basics of convex analysis and theory of convex programming: optimality conditions, duality theory, theorems of alternative, and applications. Least-squares, linear and quadratic programs, semidefinite programming, and geometric programming. Numerical algorithms for smooth and equality constrained problems; interior-point methods for inequality constrained problems. Applications to signal processing, communications, control, analog and digital circuit design, computational geometry, statistics, machine learning, and mechanical engineering.
 
Prerequisite: linear algebra such as EE263, basic probability.
Terms: Win, Sum | Units: 3

 

 

 

 

 

Convex Optimization II (CME 364B/EE 364B)

Continuation of 364A. Subgradient, cutting-plane, and ellipsoid methods. Decentralized convex optimization via primal and dual decomposition. Monotone operators and proximal methods; alternating direction method of multipliers. Exploiting problem structure in implementation. Convex relaxations of hard problems. Global optimization via branch and bound. Robust and stochastic optimization. Applications in areas such as control, circuit design, signal processing, and communications. Course requirements include project.

 

Prerequisite: 364A.

Terms: Spr | Units: 3

 

 

 

 

Computer Science

 

Courses below 200 level are not acceptable, with the following exceptions below.
Operating Systems and Systems Programming (CS 140)

Operating systems design and implementation. Basic structure; synchronization and communication mechanisms; implementation of processes, process management, scheduling, and protection; memory organization and management, including virtual memory; I/O device management, secondary storage, and file systems.

Prerequisite: CS 110.

Terms: Win, Spr | Units: 3-4

 

Web Applications (CS 142)

Concepts and techniques used in constructing interactive web applications. Browser-side web facilities such as HTML, cascading stylesheets, the document object model, and JavaScript frameworks and Server-side technologies such as server-side JavaScript, sessions, and object-oriented databases. Issues in web security and application scalability. New models of web application deployment.

Prerequisites: CS 107 and CS 108.

Terms: Win, Spr

 

 

Compilers (CS 143)

Principles and practices for design and implementation of compilers and interpreters. Topics: lexical analysis; parsing theory; symbol tables; type systems; scope; semantic analysis; intermediate representations; runtime environments; code generation; and basic program analysis and optimization. Students construct a compiler for a simple object-oriented language during course programming projects.

Prerequisites: 103 or 103B, and 107.

Terms: Spr | Units: 3-4

Introduction to Computer Networking (CS 144)

Principles and practice. Structure and components of computer networks, packet switching, layered architectures. Applications: web/http, voice-over-IP, p2p file sharing and socket programming. Reliable transport: TCP/IP, reliable transfer, flow control, and congestion control. The network layer: names and addresses, routing. Local area networks: ethernet and switches. Wireless networks and network security.

 

Prerequisite: CS 110.

Terms: Aut | Units: 3-4

 

 

 

Data Management and Data Systems (CS 145)

 Introduction to the use, design, and implementation of database and data-intensive systems, including data models; schema design; data storage; query processing, query optimization, and cost estimation; concurrency control, transactions, and failure recovery; distributed and parallel execution; semi-structured databases; and data system support for advanced analytics and machine learning.

 

Prerequisites: 103 and 107 (or equivalent).

Terms: Aut | Units: 3-4

Introduction to Human-Computer Interaction Design (CS 147)

 

Introduces fundamental methods and principles for designing, implementing, and evaluating user interfaces. Topics: user-centered design, rapid prototyping, experimentation, direct manipulation, cognitive principles, visual design, social software, software tools. Learn by doing: work with a team on a quarter-long design project, supported by lectures, readings, and studios.
 
Prerequisite: 106B or X or equivalent programming experience. Recommended that CS Majors have also taken one of 142, 193P, or 193A.
 
Terms: Aut | Units: 3-5
Introduction to Computer Graphics and Imaging (CS 148)

 

Introductory prerequisite course in the computer graphics sequence introducing students to the technical concepts behind creating synthetic computer generated images. Begins with OpenGL/scanline rendering including discussions of underlying mathematical concepts including triangles, normals, interpolation, texture/bump mapping, etc. Importantly, the course will discuss handling light/color for image formats, computer displays, printers, etc., as well as how light interacts with the environment, constructing engineering models such as the BRDF, and various simplifications into more basic lighting and shading models. Ray tracing is introduced and compared to real world cameras to illustrate various concepts, and both anti-aliasing and acceleration structures are discussed. The final class mini-project consists of building out a ray tracer to create visually compelling images. Starter codes and code bits will be provided to aid in development, but this class focuses on what you can do with the code as opposed to what the code itself looks like. Therefore grading is weighted toward in person "demos" of the code in action - creativity and the production of impressive visual imagery are highly encouraged/rewarded.
 
Prerequisites: CS 107, MATH 51.
 
Terms: Aut | Units: 3-4
Parallel Computing (CS 149)

This course is an introduction to parallelism and parallel programming. Most new computer architectures are parallel; programming these machines requires knowledge of the basic issues of and techniques for writing parallel software. Topics: varieties of parallelism in current hardware (e.g., fast networks, multicore, accelerators such as GPUs, vector instruction sets), importance of locality, implicit vs. explicit parallelism, shared vs. non-shared memory, synchronization mechanisms (locking, atomicity, transactions, barriers), and parallel programming models (threads, data parallel/streaming, MapReduce, Apache Spark, SPMD, message passing, SIMT, transactions, and nested parallelism). Significant parallel programming assignments will be given as homework. The course is open to students who have completed the introductory CS course sequence through 110.

Terms: Aut | Units: 3-4

Introduction to Automata and Complexity Theory (CS 154)

 

This course provides a mathematical introduction to the following questions: What is computation? Given a computational model, what problems can we hope to solve in principle with this model? Besides those solvable in principle, what problems can we hope to efficiently solve? In many cases we can give completely rigorous answers; in other cases, these questions have become major open problems in computer science and mathematics. By the end of this course, students will be able to classify computational problems in terms of their computational complexity (Is the problem regular? Not regular? Decidable? Recognizable? Neither? Solvable in P? NP-complete? PSPACE-complete?, etc.). Students will gain a deeper appreciation for some of the fundamental issues in computing that are independent of trends of technology, such as the Church-Turing Thesis and the P versus NP problem.
 
Prerequisites: CS 103 or 103B.
 
Terms: Aut | Units: 3-4
Computer and Network Security (CS 155)

 

For seniors and first-year graduate students. Principles of computer systems security. Attack techniques and how to defend against them. Topics include: network attacks and defenses, operating system security, application security (web, apps, databases), malware, privacy, and security for mobile devices. Course projects focus on building reliable code.

Prerequisite: 110. Recommended: basic Unix.

 

Terms: Spr | Units: 3
 
Computational Logic (CS 157)

 

Rigorous introduction to Symbolic Logic from a computational perspective. Encoding information in the form of logical sentences. Reasoning with information in this form. Overview of logic technology and its applications - in mathematics, science, engineering, business, law, and so forth. Topics include the syntax and semantics of Propositional Logic, Relational Logic, and Herbrand Logic, validity, contingency, unsatisfiability, logical equivalence, entailment, consistency, natural deduction (Fitch), mathematical induction, resolution, compactness, soundness, completeness.

 
Terms: Aut | Units: 3
 
 
Design and Analysis of Algorithms (CS 161)

 

Worst and average case analysis. Recurrences and asymptotics. Efficient algorithms for sorting, searching, and selection. Data structures: binary search trees, heaps, hash tables. Algorithm design techniques: divide-and-conquer, dynamic programming, greedy algorithms, amortized analysis, randomization. Algorithms for fundamental graph problems: minimum-cost spanning tree, connected components, topological sort, and shortest paths. Possible additional topics: network flow, string searching.

Prerequisite: 103 or 103B; 109 or STATS 116.

 

Terms: Aut, Win, Sum | Units: 3-5
 
 
Ethics, Public Policy, and Technological Change (CS 182)
Examination of recent developments in computing technology and platforms through the lenses of philosophy, public policy, social science, and engineering.  Course is organized around five main units: algorithmic decision-making and bias; data privacy and civil liberties; artificial intelligence and autonomous systems; the power of private computing platforms; and issues of diversity, equity, and inclusion in the technology sector.  Each unit considers the promise, perils, rights, and responsibilities at play in technological developments.
 
Prerequisite: CS106A.
 
Terms: Win | Units: 5
Continuous Mathematical Methods with an Emphasis on Machine Learning (CS 205L)

A survey of numerical approaches to the continuous mathematics used throughout computer science with an emphasis on machine and deep learning. Although motivated from the standpoint of machine learning, the course will focus on the underlying mathematical methods including computational linear algebra and optimization, as well as special topics such as automatic differentiation via backward propagation, momentum methods from ordinary differential equations, CNNs, RNNs, etc. Written homework assignments and (straightforward) quizzes focus on various concepts; additionally, students can opt in to a series of programming assignments geared towards neural network creation, training, and inference. (Replaces CS205A, and satisfies all similar requirements.)

 

Prerequisites: Math 51; Math104 or MATH113 or equivalent or comfort with the associated material.

Terms: Win | Units: 3

Artificial Intelligence: Principles and Techniques (CS 221)

Artificial intelligence (AI) has had a huge impact in many areas, including medical diagnosis, speech recognition, robotics, web search, advertising, and scheduling. This course focuses on the foundational concepts that drive these applications. In short, AI is the mathematics of making good decisions given incomplete information (hence the need for probability) and limited computation (hence the need for algorithms). Specific topics include search, constraint satisfaction, game playing,n Markov decision processes, graphical models, machine learning, and logic.

 

Prerequisites: CS 103 or CS 103B/X, CS 106B or CS 106X, CS 109, and CS 161 (algorithms, probability, and object-oriented programming in Python). We highly recommend comfort with these concepts before taking the course, as we will be building on them with little review.

Terms: Aut, Spr | Units: 3-4

Probabilistic Graphical Models: Principles and Techniques (CS 228)

 Probabilistic graphical modeling languages for representing complex domains, algorithms for reasoning using these representations, and learning these representations from data. Topics include: Bayesian and Markov networks, extensions to temporal modeling such as hidden Markov models and dynamic Bayesian networks, exact and approximate probabilistic inference algorithms, and methods for learning models from data. Also included are sample applications to various domains including speech recognition, biological modeling and discovery, medical diagnosis, message encoding, vision, and robot motion planning.

Prerequisites: basic probability theory and algorithm design and analysis.

Terms: Win | Units: 3-4

Machine Learning (CS229/STATS 229)

Topics: statistical pattern recognition, linear and non-linear regression, non-parametric methods, exponential family, GLMs, support vector machines, kernel methods, deep learning, model/feature selection, learning theory, ML advice, clustering, density estimation, EM, dimensionality reduction, ICA, PCA, reinforcement learning and adaptive control, Markov decision processes, approximate dynamic programming, and policy search.

Prerequisites: knowledge of basic computer science principles and skills at a level sufficient to write a reasonably non-trivial computer program in Python/NumPy to the equivalency of CS106A, CS106B, or CS106X, familiarity with probability theory to the equivalency of CS 109, MATH151, or STATS 116, and familiarity with multivariable calculus and linear algebra to the equivalency of MATH51 or CS205.

 

Terms: Aut, Spr, Sum | Units: 3-4

Mining Massive Data Sets (CS 246)

The availability of massive datasets is revolutionizing science and industry. This course discusses data mining and machine learning algorithms for analyzing very large amounts of data. Topics include: Big data systems (Hadoop, Spark); Link Analysis (PageRank, spam detection); Similarity search (locality-sensitive hashing, shingling, min-hashing); Stream data processing; Recommender Systems; Analysis of social-network graphs; Association rules; Dimensionality reduction (UV, SVD, and CUR decompositions); Algorithms for large-scale mining (clustering, nearest-neighbor search); Large-scale machine learning (decision tree ensembles); Multi-armed bandit; Computational advertising.

Prerequisites: At least one of CS107 or CS145.

Terms: Win | Units: 3-4

Optimization and Algorithmic (CS 261)

Paradigms Algorithms for network optimization: max-flow, min-cost flow, matching, assignment, and min-cut problems. Introduction to linear programming. Use of LP duality for design and analysis of algorithms. Approximation algorithms for NP-complete problems such as Steiner Trees, Traveling Salesman, and scheduling problems. Randomized algorithms. Introduction to sub-linear algorithms and decision making under uncertainty.

 

Prerequisite: 161 or equivalent.

Terms: Spr | Units: 3

Economics (ECON) & Economic Analysis & Policy (MGTECON),

GSB: Finance (FINANCE) & General & Interdisciplinary (GSBGEN),

Management Science & Engineering (M&SE)

Machine Learning and Causal Inference (MGTECON 634)

This course will cover statistical methods based on the machine learning literature that can be used for causal inference. In economics and the social sciences more broadly, empirical analyses typically estimate the effects of counterfactual policies, such as the effect of implementing a government policy, changing a price, showing advertisements, or introducing new products. This course will review when and how machine learning methods can be used for causal inference, and it will also review recent modifications and extensions to standard methods to adapt them to causal inference and provide statistical theory for hypothesis testing. We consider causal inference methods based on randomized experiments as well as observational studies, including methods such as instrumental variables and those based on longitudinal data. We consider the estimation of average treatment effects as well as personalized policies.

Lectures will focus on theoretical developments, while classwork will consist primarily of empirical applications of the methods.
 
Prerequisites: graduate level coursework in at least one of statistics, econometrics, or machine learning. Students without prior exposure to causal inference will need to do additional background reading in the early weeks of the course.
 
Terms: Spr | Units: 3
Microeconomics I (ECON 202N)

Open to advanced undergraduates with consent of instructors. Theory of the consumer and the implications of constrained maximization; uses of indirect utility and expenditure functions; theory of the producer, profit maximization, and cost minimization; monotone comparative statics; behavior under uncertainty; partial equilibrium analysis and introduction to models of general equilibrium. Limited enrollment.

Prerequisite: thorough understanding of the elements of multivariate calculus and linear algebra.

Terms: Aut | Units: 2-5

Microeconomics II (ECON 203N)
Non-cooperative game theory including normal and extensive forms, solution concepts, games with incomplete information, and repeated games. Externalities and public goods. The theory of imperfect competition: static Bertrand and Cournot competition, dynamic oligopoly, entry decisions, entry deterrence, strategic behavior to alter market conditions. Limited enrollment.
 
Prerequisite: ECON 202.
 
Terms: Win | Units: 3-5
Macroeconomics I (ECON 210)
Dynamic programming applied to a variety of economic problems. These problems will be formulated in discrete or continuous time, with or without uncertainty, with a finite or infinite horizon. There will be weekly problem sets and a take-home final that will require MATLAB programming. Limited enrollment.
 
Terms: Aut | Units: 2-5
 
Intermediate Econometrics I (ECON 271)
Second course in the PhD sequence in econometrics at the Economics Department (as Econ 271) and at the GSB (as MGTECON 604). This course presents modern econometric methods with a focus on regression. Among the topics covered are: linear regression and its interpretation, robust inference, asymptotic theory for maximum-likelihood und other extremum estimators, generalized method of moments, Bayesian regression, high-dimensional and non-parametric regression, binary and multinomial discrete choice, resampling methods, linear time-series models, and state-space models. As a prerequisite, this course assumes working knowledge of probability theory and statistics as covered in Econ 270/ MGTECON 603.
 
Prerequisites: Econ 270/ MGTECON 603 or equivalent.
 
Terms: Win | Units: 3-5
Intermediate Econometrics II (ECON 272)
Simultaneous equation models, nonlinear estimation and testing, linear time series analysis, structural modeling.
Prerequisites: Econ 271 or permission of instructor.
 
 
 
 
Terms: Spr | Units: 3-5
Advanced Econometrics I (ECON 273)
Possible topics: parametric asymptotic theory. M and Z estimators. General large sample results for maximum likelihood; nonlinear least squares; and nonlinear instrumental variables estimators including the generalized method of moments estimator under general conditions. Model selection test. Consistent model selection criteria. Nonnested hypothesis testing. Markov chain Monte Carlo methods. Nonparametric and semiparametric methods. Quantile Regression methods.
 
Terms: Spr | Units: 3-5
 
Advanced Econometrics II (ECON 274)
Possible topics: nonparametric density estimation and regression analysis; sieve approximation; contiguity; convergence of experiments; cross validation; indirect inference; resampling methods: bootstrap and subsampling; quantile regression; nonstandard asymptotic distribution theory; empirical processes; set identification and inference, large sample efficiency and optimality; multiple hypothesis testing; randomization and permutation tests; inference for dependent data.
 
Last offered: Spring 2021
 
Terms:  | Units:
 
Financial Markets I (FINANCE 620)

This course is an introductory PhD level course in financial economics. We begin with individual choice under uncertainty, then move on to equilibrium models, the stochastic discount factor methodology, and no-arbitrage pricing. We will also address some empirical puzzles relating to asset markets, and explore the models that have been developed to try to explain them.

Terms: Win | Units: 3

Dynamic Asset Pricing Theory (FINANCE 622)

 

This course is an introduction to multiperiod models in finance, mainly pertaining to optimal portfolio choice and asset pricing. The course begins with discrete-time models for portfolio choice and security prices, and then moves to a continuous-time setting. The topics then covered include advanced derivative pricing models, models of the term structure of interest rates, the valuation of corporate securities, portfolio choice in continuous-time settings, and finally finally market design. Students should have had some previous doctoral-level exposure to general equilibrium theory and some basic courses in investments. Strong backgrounds in calculus, linear algebra, and probability theory are recommended. Problem assignments are frequent and, for most students, demanding. Prerequisite: F620 and MGTECON600 (or equivalent), or permission of instructor.
 
Terms: Aut | Units: 4
Economic Analysis (MS&E 241)

Principal methods of economic analysis of the production activities of firms, including production technologies, cost and profit, and perfect and imperfect competition; individual choice, including preferences and demand; and the market-based system, including price formation, efficiency, and welfare. Practical applications of the methods presented.

 
Recommended: 211, ECON 50.
 
Terms: Win | Units: 3-4
 
Investment Science (MS&E 245A)
Basic concepts of modern quantitative finance and investments. Focus is on the financial theory and empirical evidence that are useful for investment decisions. Topics: basic interest rates; evaluating investments: present value and internal rate of return; fixed-income markets: bonds, yield, duration, portfolio immunization; term structure of interest rates; measuring risk: volatility and value at risk; designing optimal portfolios; risk-return tradeoff: capital asset pricing model and extensions. No prior knowledge of finance is required. Concepts are applied in a stock market simulation with real data.
 
Prerequisite: basic preparation in probability, statistics, and optimization.
 
Terms: Aut | Units: 3-4
 
Financial Risk Analytics (MS&E 246)

Practical introduction to financial risk analytics. The focus is on data-driven modeling, computation, and statistical estimation of credit and market risks. Case studies based on real data will be emphasized throughout the course. Topics include mortgage risk, asset-backed securities, commercial lending, consumer delinquencies, online lending, derivatives risk. Tools from machine learning and statistics will be developed. Data sources will be discussed. The course is intended to enable students to design and implement risk analytics tools in practice.

 

Prerequisites: MS&E 245A or similar, some background in probability and statistics, working knowledge of R, Matlab, or similar computational/statistical package.

 

Terms: Win | Units: 3
 

Operations Management (MS&E)

Engineering Risk Analysis (MS&E 250A)

The techniques of analysis of engineering systems for risk management decisions involving trade-offs (technical, human, environmental aspects). Elements of decision analysis; probabilistic risk analysis (fault trees, event trees, systems dynamics); economic analysis of failure consequences (human safety and long-term economic discounting); and case studies such as space systems, nuclear power plants, and medical systems. Public and private sectors.

Prerequisites: probability, decision analysis, stochastic processes, and convex optimization.

 

Terms: Win | Units: 3
Linear and Nonlinear Optimization (MS&E 221)
Focus is on time-dependent random phenomena. Topics: discrete time Markov chains, Markov jump processes, queueing theory, and applications. Emphasis on model-building, computation, and related calibration and statistical issues.
 
Prerequisite: 220 or equivalent, or consent of instructor.
 
Terms: Spr | Units: 3
Simulation (MS&E 223)
Discrete-event systems, generation of uniform and non-uniform random numbers, Monte Carlo methods, programming techniques for simulation, statistical analysis of simulation output, efficiency-improvement techniques, decision making using simulation, applications to systems in computer science, engineering, finance, and operations research.
 
Prerequisites: working knowledge of a programming language such as C, C++, Java, Python, or FORTRAN; calculus-base probability; and basic statistical methods.
 
Terms: Spr | Units: 3
Decision Analysis I: Foundations of Decision Analysis (MS&E 252)
Coherent approach to decision making, using the metaphor of developing a structured conversation having desirable properties, and producing actional thought that leads to clarity of action. Socratic instruction; computational problem sessions. Emphasis is on creation of distinctions, representation of uncertainty by probability, development of alternatives, specification of preference, and the role of these elements in creating a normative approach to decisions. Information gathering opportunities in terms of a value measure. Relevance and decision diagrams to represent inference and decision. Principles are applied to decisions in business, technology, law, and medicine. See 352 for continuation.
 
Terms: Aut | Units: 3-4
Project Course in Engineering Risk Analysis (MS&E 250B)

Students, individually or in groups, choose, define, formulate, and resolve a real risk management problem, preferably from a local firm or institution. Oral presentation and report required. Scope of the project is adapted to the number of students involved. Three phases: risk assessment, communication, and management. Emphasis is on the use of probability for the treatment of uncertainties and sensitivity to problem boundaries. Limited enrollment.

Prerequisites: MS&E 250A and consent of instructor.

 

Terms: Spr | Units: 3
Introduction to Operations Management (MS&E 260)

 EE 261: The Fourier Transform and Its Applications
The Fourier transform as a tool for solving physical problems. Fourier series, the Fourier transform of continuous and discrete signals and its properties. The Dirac delta, distributions, and generalized transforms. Convolutions and correlations and applications; probability distributions, sampling theory, filters, and analysis of linear systems. The discrete Fourier transform and the FFT algorithm. Multidimensional Fourier transform and use in imaging. Further applications to optics, crystallography. Emphasis is on relating the theoretical principles to solving practical engineering and science problems.

 

Prerequisites: Math through ODEs, basic linear algebra, Comfort with sums and discrete signals, Fourier series at the level of 102A


Terms: Win, Sum | Units: 3

Foundations of Reinforcement Learning with Applications in Finance (MS&E 346/CME241)

This course is taught in 3 modules - (1) Markov Processes and Planning Algorithms, including Approximate Dynamic Programming (3 weeks), (2) Financial Trading problems cast as Stochastic Control, from the fields of Portfolio Management, Derivatives Pricing/Hedging, Order-Book Trading (2 weeks), and (3) Reinforcement Learning Algorithms, including Monte-Carlo, Temporal-Difference, Batch RL, Policy Gradient (4 weeks). The final week will cover practical aspects of RL in the industry, including an industry guest speaker. The course emphasizes the theory of RL, modeling the practical nuances of these finance problems, and strengthening the understanding through plenty of programming exercises.

No prerequisite coursework expected, but a foundation in undergraduate Probability, basic familiarity with Finance, and Python programming skills are required.

 

Terms: Win | Units: 3
Optimization (MS&E 311/CME 307)
Applications, theories, and algorithms for finite-dimensional linear and nonlinear optimization problems with continuous variables. Elements of convex analysis, first- and second-order optimality conditions, sensitivity and duality. Algorithms for unconstrained optimization, and linearly and nonlinearly constrained problems. Modern applications in communication, game theory, auction, and economics.
 
Prerequisites: MATH 113, 115, or equivalent.
 
Terms: Win | Units: 3
Stochastic Systems (MS&E 321)
Topics in stochastic processes, emphasizing applications. Markov chains in discrete and continuous time; Markov processes in general state space; Lyapunov functions; regenerative process theory; renewal theory; martingales, Brownian motion, and diffusion processes. Application to queueing theory, storage theory, reliability, and finance.
 
Prerequisites: 221 or STATS 217; MATH 113, 115.
 
Terms: Spr | Units: 3
Influence Diagrams and Probabilistics Networks (MS&E 355)

 

Network representations for reasoning under uncertainty: influence diagrams, belief networks, and Markov networks. Structuring and assessment of decision problems under uncertainty. Learning from evidence. Conditional independence and requisite information. Node reductions. Belief propagation and revision. Simulation. Linear-quadratic-Gaussian decision models and Kalman filters. Dynamic processes. Bayesian meta-analysis. Prerequisites: 220, 252, or equivalents, or consent of instructor.
Terms: Spr | Units: 3

Mathematics

 

Courses below 200 level are not acceptable, with the following exceptions below.
Functions of a Real Variable (MATH 115)

The development of real analysis in Euclidean space: sequences and series, limits, continuous functions, derivatives, integrals. Basic point set topology. Includes introduction to proof-writing.

 

Terms: Aut, Spr | Units: 3
Fundamental Concepts of Analysis (MATH 171)

Recommended for Mathematics majors and required of honors Mathematics majors. Similar to 115 but altered content and more theoretical orientation. Properties of Riemann integrals, continuous functions and convergence in metric spaces; compact metric spaces, basic point set topology.

Prerequisite: 61CM or 61DM or 115 or consent of the instructor. WIM

 

Terms: Aut, Spr | Units: 3
Real Analysis (MATH 205A)

Basic measure theory and the theory of Lebesgue integration.

Prerequisite: Math 171. Math 172 is also recommended.

 

Terms: Aut | Units: 3
Partial Differential Equations of Applied Mathematics (MATH 220/CME 303)

First-order partial differential equations; method of characteristics; weak solutions; elliptic, parabolic, and hyperbolic equations; Fourier transform; Fourier series; and eigenvalue problems.

 
Prerequisite: Basic coursework in multivariable calculus and ordinary differential equations, and some prior experience with a proof-based treatment of the material as in Math 171 or Math 61CM.
Terms: Aut | Units: 3
Introduction to Stochastic Differential Equations (MATH 236)

Brownian motion, stochastic integrals, and diffusions as solutions of stochastic differential equations. Functionals of diffusions and their connection with partial differential equations. Random walk approximation of diffusions. Introduction to stochastic control and Bayesian filtering.

Prerequisite: Math 136 or equivalent and differential equations. NOTE: Undergraduates require instructor permission to enroll. Undergraduates interested in taking the course should contact the instructor for permission, providing information about relevant background such other courses taken.

 

Terms: Win | Units: 3
Linear Algebra with Application to Engineering Computations (CME 200/ME 300A)
Computer based solution of systems of algebraic equations obtained from engineering problems and eigen-system analysis, Gaussian elimination, effect of round-off error, operation counts, banded matrices arising from discretization of differential equations, ill-conditioned matrices, matrix theory, least square solution of unsolvable systems, solution of non-linear algebraic equations, eigenvalues and eigenvectors, similar matrices, unitary and Hermitian matrices, positive definiteness, Cayley-Hamilton theory and function of a matrix and iterative methods.
 
Prerequisite: familiarity with computer programming, and MATH51.
 
Terms: Aut | Units: 3

Electrical Engineering (EE)

The Fourier Transform and Its Applications (EE 261)

The Fourier transform as a tool for solving physical problems. Fourier series, the Fourier transform of continuous and discrete signals and its properties. The Dirac delta, distributions, and generalized transforms. Convolutions and correlations and applications; probability distributions, sampling theory, filters, and analysis of linear systems. The discrete Fourier transform and the FFT algorithm. Multidimensional Fourier transform and use in imaging. Further applications to optics, crystallography. Emphasis is on relating the theoretical principles to solving practical engineering and science problems.

Prerequisites: Math through ODEs, basic linear algebra, Comfort with sums and discrete signals, Fourier series at the level of 102A

 

Terms: Aut, Sum | Units: 3
Introduction to Linear Dynamical Systems (EE 263/CME 263)

Applied linear algebra and linear dynamical systems with applications to circuits, signal processing, communications, and control systems. Topics: least-squares approximations of over-determined equations, and least-norm solutions of underdetermined equations. Symmetric matrices, matrix norm, and singular-value decomposition. Eigenvalues, left and right eigenvectors, with dynamical interpretation. Matrix exponential, stability, and asymptotic behavior. Multi-input/multi-output systems, impulse and step matrices; convolution and transfer-matrix descriptions. Control, reachability, and state transfer; observability and least-squares state estimation.

 

Prerequisites: Linear algebra and matrices as in ENGR 108 or MATH 104; ordinary differential equations and Laplace transforms as in EE 102B or CME 102.

 

Terms: Aut, Sum | Units: 3
Signal Processing for Machine Learning (EE 269)

 This course will introduce you to fundamental signal processing concepts and tools needed to apply machine learning to discrete signals. You will learn about commonly used techniques for capturing, processing, manipulating, learning and classifying signals. The topics include: mathematical models for discrete-time signals, vector spaces, Fourier analysis, time-frequency analysis, Z-transforms and filters, signal classification and prediction, basic image processing, compressed sensing and deep learning. This class will culminate in a final project.

Prerequisites: EE 102A and EE 102B or equivalent, basic programming skills (Matlab). ENGR 108 and EE 178 are recommended.

 
Terms: Aut | Units: 3
Introduction to Statistical Signal Processing (EE 278)

Review of basic probability and random variables. Random vectors and processes; convergence and limit theorems; IID, independent increment, Markov, and Gaussian random processes; stationary random processes; autocorrelation and power spectral density; mean square error estimation, detection, and linear estimation. Formerly EE 278B.

 
Prerequisites: EE178 and linear systems and Fourier transforms at the level of EE102A,B or EE261.
 
Terms: Aut | Units: 3
Adaptive Signal Processing (EE 373A)
Learning algorithms for adaptive digital filters. Self-optimization. Wiener filter theory. Quadratic performance functions, their eigenvectors and eigenvalues. Speed of convergence. Asymptotic performance versus convergence rate. Applications of adaptive filters to statistical prediction, process modeling, adaptive noise canceling, adaptive antenna arrays, adaptive inverse control, and equalization and echo canceling in modems. Artificial neural networks. Cognitive memory/human and machine. Natural and artificial synapses. Hebbian learning. The Hebbian-LMS algorithm. Theoretical and experimental research projects in adaptive filter theory, communications, audio systems, and neural networks. Biomedical research projects, supervised jointly by EE and Medical School faculty.
 
Recommended: EE263, EE264, EE278.
 
Last offered: Spring 2021
 
Algebraic Error Correcting Codes (EE 387/CS 250)

Introduction to the theory of error correcting codes, emphasizing algebraic constructions, and diverse applications throughout computer science and engineering. Topics include basic bounds on error correcting codes; Reed-Solomon and Reed-Muller codes; list-decoding, list-recovery and locality. Applications may include communication, storage, complexity theory, pseudorandomness, cryptography, streaming algorithms, group testing, and compressed sensing.

 

Prerequisites: Linear algebra, basic probability (at the level of, say, CS109, CME106 or EE178) and "mathematical maturity" (students will be asked to write proofs). Familiarity with finite fields will be helpful but not required.

 

Terms: Win | Units: 3
Algebraic Error Correcting Codes (EE 387/CS 250)

Introduction to the theory of error correcting codes, emphasizing algebraic constructions, and diverse applications throughout computer science and engineering. Topics include basic bounds on error correcting codes; Reed-Solomon and Reed-Muller codes; list-decoding, list-recovery and locality. Applications may include communication, storage, complexity theory, pseudorandomness, cryptography, streaming algorithms, group testing, and compressed sensing.

 

Prerequisites: Linear algebra, basic probability (at the level of, say, CS109, CME106 or EE178) and "mathematical maturity" (students will be asked to write proofs). Familiarity with finite fields will be helpful but not required.

 

Terms: Win | Units: 3

Civil and Environmental Engineering (CEE)/ Energy (ENERGY)

Probabilistic Models in Civil Engineering (CEE 203)
Introduction to probability modeling and statistical analysis in civil engineering. Emphasis is on the practical issues of model selection, interpretation, and calibration. Application of common probability models used in civil engineering including Poisson processes and extreme value distributions. Parameter estimation. Linear regression.
 
Terms: Aut | Units: 3-4
Random Vibrations (CEE 289)
Introduction to random processes. Correlation and power spectral density functions. Stochastic dynamic analysis of multi-degree-of-freedom structures subjected to stationary and non-stationary random excitations. Crossing rates, first-excursion probability, and distributions of peaks and extremes. Applications in earthquake, wind, and ocean engineering.
 
Prerequisite: 203 or equivalent.
 
Terms: Win | Units: 3-4
 
Data science for geoscience (CEE 240/EARTHSYS 240, ESS 239, GEOLSCI 240)
This course provides an overview of the most relevant areas of data science (applied statistics, machine learning & computer vision) to address geoscience challenges, questions and problems. Using actual geoscientific research questions as background, principles and methods of data scientific analysis, modeling, and prediction are covered. Data science areas covered are: extreme value statistics, multi-variate analysis, factor analysis, compositional data analysis, spatial information aggregation models, spatial estimation, geostatistical simulation, treating data of different scales of observation, spatio-temporal modeling (geostatistics). Application areas covered are: process geology, hazards, natural resources. Students are encouraged to participate actively in this course by means of their own data science research challenge or question.
 
Terms: Win | Units: 3
Seismic Reservoir Characterization (ENERGY 241/CEE 241/GEOPHYS 241A)
Practical methods for quantitative characterization and uncertainty assessment of subsurface reservoir models integrating well-log and seismic data. Multidisciplinary combination of rock-physics, seismic attributes, sedimentological information and spatial statistical modeling techniques. Student teams build reservoir models using limited well data and seismic attributes typically available in practice, comparing alternative approaches. Software provided (SGEMS, Petrel, Matlab).
Offered every other year.
 
Recommended: ERE240/260, or GP222/223, or GP260/262 or GES253/257; ERE246, GP112
Terms: Spr | Units: 3-4

Political Science (POLISCI)/ Public Policy (PUBLPOL)

Political Methodology I: Regression (POLISCI 450A)
Introduction to statistical research in political science, with a focus on linear regression. Teaches students how to apply multiple regression models as used in much of political science research. Also covers elements of probability and sampling theory.
 
Terms: Aut | Units: 3-5
Political Methodology II: Causal Inference (POLISCI 450B)
Survey of statistical methods for causal inference in political science research. Covers a variety of causal inference designs, including experiments, matching, regression, panel methods, difference-in-differences, synthetic control methods, instrumental variables, regression discontinuity designs, quantile regression, and bounds.
 
Prerequisite: POLISCI 450A.
 
Terms: Win | Units: 3-5
 
Political Methodology III: Model-Based Inference (POLISCI 450C)
Provides a survey of statistical tools for model-based inference in political science with a particular focus on machine-learning techniques. Topics include likelihood theory of inference and techniques for prediction, discovery, and causal inference.
 
Prerequisites: POLISCI 450A and POLISCI 450B.
 
Terms: Spr | Units: 3-5

Psychology (PSYCH)/Social Sciences (SOC)

Advanced Statistical Modeling (PSYCH 253)
Introduction to high-dimensional data analysis and machine learning methods for use in the behavioral and neurosciences, including: supervised methods such as SVMs, linear and nonlinear regression and classifiers, and regularization techniques; statistical methods such as bootstrapping, signal detection, factor analysis, and reliability theory; metrics for model/data comparison such as representational similarity analysis; and unsupervised methods such as clustering. Students will learn how to both use existing statistical data analysis packages (such as scikit-learn) as well to build, optimize, and estimate their own custom models using an optimization framework (such as Tensorflow or Pytorch).
 
Requirement: Psych 251. Familiarity with python programming and multivariable calculus and linear algebra ( Math 51) highly recommended.
 
Last offered: Spring 2021
Sociological Methodology III: Models for Discrete Outcomes (SOC 383)
Required for Ph.D. in Sociology; other students by instructor permission only. enrollment limited to first-year Sociology doctoral students. The rationale for and interpretation of static and dynamic models for the analysis of discrete variables.
 
 
Prerequisites: 381 and 382, or equivalents.
 
Terms: Spr | Units: 5