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I'm in the process of selecting 3 statistics classes to take for my Applied Math course cluster (doing my concentration in actuarial science or statistical analysis). Which 3 classes out of the following do you think are most useful/applicable in finance/tech/paired with Computer Science?

  • Stochastic Processes (Random walks, discrete time Markov chains, Poisson processes)
  • Linear Modeling: Theory and Applications
  • Introduction to Time Series
  • Modern Statistical Prediction and Machine Learning
  • Game Theory
  • Introduction to Econometric Analysis (Cross-enrollment between Stats & Econ)
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closed as primarily opinion-based by amoeba, mdewey, Firebug, Nick Cox, whuber Apr 25 '17 at 17:22

Many good questions generate some degree of opinion based on expert experience, but answers to this question will tend to be almost entirely based on opinions, rather than facts, references, or specific expertise. If this question can be reworded to fit the rules in the help center, please edit the question.

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    $\begingroup$ Congratulations on landing a HNQ (Hot Network Question) on your first question, but this is obviously "primarily opinion-based", so I'm voting to close. $\endgroup$ – Firebug Apr 25 '17 at 12:27
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    $\begingroup$ But it is also expert advice that is useful to the OP. $\endgroup$ – Michael Chernick Apr 25 '17 at 12:59
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    $\begingroup$ @MichaelChernick "Many good questions generate some degree of opinion based on expert experience, but answers to this question will tend to be almost entirely based on opinions, rather than facts, references, or specific expertise." $\endgroup$ – Firebug Apr 25 '17 at 13:24
  • $\begingroup$ OP here, I didn't realize I could use other Stack Exchange accounts for this one. Also I'm sorry if this question was off-topic, I didn't realize it was, and that it'd pick up this much traction. Thanks for the responses everyone! $\endgroup$ – Max Apr 26 '17 at 6:18
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  1. Linear Modeling (the basics)
  2. Introduction to Time Series (important for finance and tech, where there are lots and lots of measurement occasions)
  3. Modern Statistical Prediction and Machine Learning (for the fancy new prediction stuff, also important for finance and tech)
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    $\begingroup$ Your choices are good too. It is difficult to pick just three when the concentration is in actuarial science or statistical analysis in general. We agreed on the first two and differ on the third. I just assumed that if actuarial science is a concentration in applied math then a serious course in survival analysis would be important. $\endgroup$ – Michael Chernick Apr 25 '17 at 4:33
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I would recommend Linear Modeling and Introduction to Time Series. If you only have three electives and you decide to concentrate in actuarial science, I would take a course in survival analysis if one is available.

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Working as a Data Scientist at one of the biggest consultancies of the world I can just give my two cents which one is useful for a job like mine. All courses are cool and have applications both in research, development as well as consulting. However some courses might be more important for practical application. Disclaimer: This does not reflect the opinion of my employer and I have also only seen several departments in Germany.

THE MOST USEFUL COURSES:

  • Introduction to Time Series

If you are working as a Data Scientist you will definitely make forecast occasionally. It is important that you understand patterns such as trends, unit roots, seasonalities, etc.

In practice you will be facing data with different frequencies such as monthly or quartely data.

Read Forecasting principle and practice in order to get an understanding of the applications of forecasting.

  • Modern Statistical Prediction and Machine Learning

This course will raise your chances of getting a highly paid job. Machine Learning is correlated with higher salaries than classical statistics. It is definitely worth knowing things such as training and test data. You will always built a model and test it.

It is also due to the importance of Machine Learning that this page is called CrossValidated. hahahaha

ALSO USEFUL:

  • Linear Modeling: Theory and Applications
  • Introduction to Econometric Analysis (Cross-enrollment between Stats & Econ)

These courses seem pretty similar to me. I presume both are mainly dealing with Longitudinal Data and Pannel Data. However Most regression problems you will face as a Data Scientist deal with Time Series. I just had one project with Heckman selection modell/ Tobit regression and some small stuff where I faced Count Data and Survival Analysis. Overall classification tasks are more widespread at my company than regression tasks.

You are most likely to work in a team with Mathematicians, Statisticians and Computer Scientists. They will not stick to econometric modells. Nonetheless a solid understanding of linear models and econometric analysis will help you to deal with time series and forecasting issues.

It also depends on the programming language you prefer. R (and even more particularly Stata) are very handy for regression models. Python is rather useful for other tasks.

As Michael Chernick already stated Microeconometric issues are widely used at insurances. If you work for in a life insurance department survival analysis will be crucial. However most data scientist do not face such tasks.

You can go through this applied econometric foundation course by UCLA and reflect in how far you will face such questions in your future job.

RATHER IRRELEVANT:

  • Stochastic Processes (Random walks, discrete time Markov chains, Poisson processes)

This will be hardly useful as a Data Scientist. Maybe you can face such models if you are working in a Quantitative Finance department of a bank.

  • Game Theory

Game theory is a theoretical concept which is barely directly applied in practice. In economic and psychological research it might be helpful, however it is not in the classical scope of a data scientist.

Please don't hesitate to ask if I should be more specific about some courses.

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As someone who works for a bank in a quantitative role, I disagree with the other answers. Stochastic processes are very important. A good knowledge of stochastic processes allows you to understand the intuition behind many of the other classes you mention, especially time series models. It is also a differentiater (in my experience a good knowledge of stochastic processes is rare).

I would take

  1. Stochastic Processes
  2. Modern Statistical Prediction and Machine Learning
  3. Linear Modeling: Theory and Applications
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