Statistics 2016-2017 (TI012)
M.Phil. course Tinbergen Institute

Contents

The course is intended for students who have a deficiency in probability and statistics. It starts off with the very first principles of probability and quickly passes on to essential statistical techniques. Estimation and testing theory will be reviewed, including maximum likelihood estimators, likelihood ratio test and (least squares) regression. The course is based on John A. Rice, Mathematical Statistics and Data Analysis, Duxbury Press, Belmont, California. From this book we will treat a good deal of the chapters 2-6, 8, 9 and 14. All together the topics will be treated in 7 lectures. Students are required to study the corresponding theory and examples in the book as well as to make accompanying exercises.

In the course we treat the following topics.

Sample spaces, probability measures, distribution functions, random variables with discrete and continuous distributions, functions of random variables, multivariate distributions, random vectors, independent random variables, conditional distributions, functions of random vectors and their distributions, expectation and variance, covariance and correlation, the law of large numbers, central limit theorem, chi-square and t-distributions, estimation, method of moments, maximum likelihood, large sample theory, confidence intervals, Cramer-Rao bound, hypothesis testing, Neyman-Pearson paradigm, likelihood ratio tests, confidence intervals, linear regression, least squares estimation of regression parameters, testing regression hypotheses.

Literature

John A. Rice, Mathematical Statistics and Data Analysis, 2nd Edition, Duxbury Press (1995, ISBN: 053420934-3), or 3rd Edition (2007, ISBN: 0534399428). Both editions can be used for this year's course, the new edition has more examples (also from financial statistics) and exercises. For the third edition there is a list of errata. Second hand copies of the book are sometimes available at Amazon Germany. Browse the web for other offers.

You may also want to see pdf copies of some slides, or the extra notes complementing some of the material in the book.

Prerequisites

Some knowledge of elementary mathematics. The course Mathematics 1 offers more than enough. Basic knowledge of probability is required up to the level of chapter 1 of Rice. This chapter will NOT be treated in the course and students are supposed to be familiar with its contents. Chapter 2 will not be treated in detail, only highlights. Students should study the many examples of distributions themselves.

People

Peter Spreij (lecturer), Konstantinos Ioannidis (teaching assistant)

Locations and Schedule

Lectures on Wednesdays, 13:30 - 16:15, but on November 2: 14:00 - 16:45. TA sessions usually on Mondays, 16:00-17:00, last session on Friday December 9, 12:00 - 13:30.

Examination

Homework assignments and written exam. Homework has to be handed every week on a Wednesday, see the schedule below. During the written exam you are allowed to use the book and a pocket calculator. Your final grade F will be a weighted average of your result H of the homework assignments and the result E of the written exam: F=0.85*E+0.15*H.
Date and time of the written exam: December 14, 2016, 13:30-16:(?) at TIA.
As an example of what could be asked, you could have a look at the old exams of December 21, 2005 and June 30, 2006, or at a collection of exam questions.

Programme

The schedule below might see some small changes during the course. Check this page regularly for updates!! You should the schedule as follows. "Week x" contains the content of the class that week, the exercises on the corresponding theory, of which a part will be the programme of the TA session, usually in week x+1, and the resulting homework to be handed at the same TA session. Perhaps for the last homework a different rule applies, this will be announced in time. The exercises listed below are all useful, but those marked with an asterisk (*) deserve special attention. The numbering of the exercises corresponds to the 2nd edition of the book. The numbering of the exercises in the 3rd edition deviates from the numbering in the 2nd edition. We have a conversion table that lists the correspondence between the two editions. It also turned out that the section numbering (sometimes) and page numbering has been changed between the two editions, see the table below.

2nd EDITION3rd EDITION
pages 202-203pages 216-218
section 8.6section 8.7
sections 9.1-9.3sections 9.1-9.2
section 9.4section 9.3
section 9.5section 9.4

FROM WEEK TO WEEK ()
1 Rice, chapter 2 and 3 (main themes only); students should study the many examples of distributions themselves, but skip parts of chapter 3 that require more than basic knowledge of multiple integrals.
Exercises: chapter 2: 5, 23, 33, 41, 44*, 53, 55*, 59*; chapter 3: 7, 17(a,b), 32(a), 34*, 37*, 38. Kostas may add (also in subsequent weeks) some additional exercises!
Homework: none.
2 Rice, sections 4.1-4.3 (except Markov inequality, but you can read it yourself).
Exercises: chapter 4: 2, 4, 6, 12, 31, 34*, 46*, 53*, 71(a)
Homework: chapter 4: 32, 45 (due November 9) and read the two slides on dependence and correlation.
3 Rice, chapter 5 (skip the considerations involving moment generating functions), sections 6.1, 6.2, 6.3, extra on multivariate normal distributions (see slides).
Exercises: chapter 5: 1*, 3*, 9, 12*, 13, 15, 17*, 23, 26.
Homework: chapter 5: 16, chapter 6: 9 (due November 16).
4 Rice, sections 8.3-8.5.2
Exercises (November 8): chapter 8: 4*, 5*, 8, 17* and (in the numbering of the 3rd!! edition) 5abc, 12 (ignore all questions on Fisher information and on sufficient statistics).
Homework: chapter 8: 14abc, 19ab (due November 23).
5 Rice, sections 8.5.2 (continued) 8.5.3 (you also read pages 202, 203 in the 2nd edition, pages 217, 218 in the 3rd edition), 8.6, and a small part of 9.2.
Exercises: chapter 8: 39abc*, 42, 44abc, 49, 52*.
Homework: chapter 8: 33 (numbering of the 3rd edition); chapter 9: 2 (due November 30) and read section 9.2 until the Neyman-Pearson lemma.
6 Rice, sections 9.2, 9.3, 9.5 (very briefly), perhaps also 9.4.
Exercises: chapter 9: 1, 3*, 5, 7*, 9; read the section on the generalized likelihood ratio test.
Homework: chapter 9: 11, 16 (due December 7).
7 Confidence intervals and testing, regression; Rice, sections 9.4, 14.1-14.4 (emphasis on 14.3, 14.4).
Exercises (might be changed): chapter 9: 15*, chapter 14: 3*, 4, 8*, 9, 12*, 15.
Homework: chapter 14: 5, 16, 25* (due December 14).


To the Korteweg-de Vries Institute for Mathematics or to the homepage of Peter Spreij.