ST337 Bayesian Forecasting and Intervention
ST33715 Bayesian Forecasting and Intervention
Introductory description
This module runs in Term 2 and is available for students on a course where it is a listed option and as an Unusual Option to students who have completed the prerequisite modules.
Prerequisites:
Statistics Students: ST218 Mathematical Statistics A AND ST219 Mathematical Statistics B
NonStatistics Students: ST220 Introduction to Mathematical Statistics
Module aims
This course is concerned with the theory and practice of shortterm forecasting, using both data and subjective information. The course focuses on Dynamic Linear Models (DLM). DLM's are a class of Bayesian Forecasting Models which generalise linear regression models and static statistical linear models. Some extensions to nonlinear dynamic models are also considered.
Forecasting is a vital prerequisite to decision making. This course offers a very powerful fundamental probabilistic approach to forecasting, controlling and learning about uncertain commercial, financial, economic, production, environmental and medical dynamic systems. The theory will be illustrated by real examples from industry, marketing, finance, government, agriculture etc.
A familiarity with the material in this module will be very useful to all students planning a career involving a component of industrial, business or government statistics.
Outline syllabus
This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.
 State space modelling
 Bayesian updating of beliefs
 Specifying Dynamic Linear Models
 Updating Dynamic Linear Models, forecasting
 Building Dynamic Linear Models, accommodating external information
 ARIMA models, stationarity
Learning outcomes
By the end of the module, students should be able to:
 Acquire an appreciation of forecasting recurrences and be able to calculate these for special cases.
 Know how to select an appropriate model in simple scenarios.
 Have an acquaintance with the most useful models in the class of DLMs for statistical forecasting in a business environment.
 Know how to intervene in these processes in the light of external information.
 Have an appreciation of diagnostic methods and estimation techniques for this model class.
Indicative reading list
View reading list on Talis Aspire
Subject specific skills
TBC
Transferable skills
TBC
Study time
Type  Required  Optional 

Lectures  30 sessions of 1 hour (20%)  2 sessions of 1 hour 
Private study  120 hours (80%)  
Total  150 hours 
Private study description
Weekly revision of lecture notes and materials, wider reading, practice exercises and preparing for examination.
Costs
No further costs have been identified for this module.
You must pass all assessment components to pass the module.
Students can register for this module without taking any assessment.
Assessment group B3
Weighting  Study time  

Inperson Examination  100%  
The examination paper will contain four questions, of which the best marks of THREE questions will be used to calculate your grade.

Assessment group R2
Weighting  Study time  

Inperson Examination  Resit  100%  
The examination paper will contain four questions, of which the best marks of THREE questions will be used to calculate your grade.

Feedback on assessment
Solutions and cohort level feedback will be provided for the examination.
Antirequisite modules
If you take this module, you cannot also take:
 ST40515 Bayesian Forecasting and Intervention with Advanced Topics
Courses
This module is Optional for:

UCSAG4G1 Undergraduate Discrete Mathematics
 Year 3 of G4G1 Discrete Mathematics
 Year 3 of G4G1 Discrete Mathematics
 Year 3 of UCSAG4G3 Undergraduate Discrete Mathematics
 Year 4 of UCSAG4G4 Undergraduate Discrete Mathematics (with Intercalated Year)
 Year 4 of UCSAG4G2 Undergraduate Discrete Mathematics with Intercalated Year

USTAG300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
 Year 3 of G300 Mathematics, Operational Research, Statistics and Economics
 Year 4 of G300 Mathematics, Operational Research, Statistics and Economics
This module is Option list A for:
 Year 4 of USTAG300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
 Year 5 of USTAG301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated

USTAG1G3 Undergraduate Mathematics and Statistics (BSc MMathStat)
 Year 3 of G1G3 Mathematics and Statistics (BSc MMathStat)
 Year 4 of G1G3 Mathematics and Statistics (BSc MMathStat)

USTAG1G4 Undergraduate Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)
 Year 4 of G1G4 Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)
 Year 5 of G1G4 Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)

USTAGG14 Undergraduate Mathematics and Statistics (BSc)
 Year 3 of GG14 Mathematics and Statistics
 Year 3 of GG14 Mathematics and Statistics
 Year 4 of USTAGG17 Undergraduate Mathematics and Statistics (with Intercalated Year)

USTAY602 Undergraduate Mathematics,Operational Research,Statistics and Economics
 Year 3 of Y602 Mathematics,Operational Research,Stats,Economics
 Year 3 of Y602 Mathematics,Operational Research,Stats,Economics
 Year 4 of USTAY603 Undergraduate Mathematics,Operational Research,Statistics,Economics (with Intercalated Year)
This module is Option list B for:

USTAG302 Undergraduate Data Science
 Year 3 of G302 Data Science
 Year 3 of G302 Data Science
 Year 3 of USTAG304 Undergraduate Data Science (MSci)
 Year 4 of USTAG303 Undergraduate Data Science (with Intercalated Year)

UMAAG105 Undergraduate Master of Mathematics (with Intercalated Year)
 Year 4 of G105 Mathematics (MMath) with Intercalated Year
 Year 5 of G105 Mathematics (MMath) with Intercalated Year
 Year 3 of USTAG300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics

USTAG301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated
 Year 3 of G30E Master of Maths, Op.Res, Stats & Economics (Actuarial and Financial Mathematics Stream) Int
 Year 4 of G30E Master of Maths, Op.Res, Stats & Economics (Actuarial and Financial Mathematics Stream) Int

UMAAG100 Undergraduate Mathematics (BSc)
 Year 3 of G100 Mathematics
 Year 3 of G100 Mathematics
 Year 3 of G100 Mathematics

UMAAG103 Undergraduate Mathematics (MMath)
 Year 3 of G100 Mathematics
 Year 3 of G103 Mathematics (MMath)
 Year 3 of G103 Mathematics (MMath)
 Year 4 of G103 Mathematics (MMath)
 Year 4 of G103 Mathematics (MMath)

UMAAG106 Undergraduate Mathematics (MMath) with Study in Europe
 Year 3 of G106 Mathematics (MMath) with Study in Europe
 Year 4 of G106 Mathematics (MMath) with Study in Europe
 Year 4 of UMAAG101 Undergraduate Mathematics with Intercalated Year
This module is Option list F for:
 Year 3 of USTAG300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics

USTAG301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated
 Year 3 of G30H Master of Maths, Op.Res, Stats & Economics (Statistics with Mathematics Stream)
 Year 4 of G30H Master of Maths, Op.Res, Stats & Economics (Statistics with Mathematics Stream)
Catalogue 
Resources 
Feedback and Evaluation 
Grade Distribution 
Timetable 
Assessments dates for Statistics modules, including coursework and examinations, can be found in the Statistics Assessment Handbook.