Stochastic 3

Lecturer: Jan Beyersmann

Exercises: Jan Feifel

General Information

Language

English, unless all students have sufficient knowledge of German
Lectures2 h
Exercises1 h

Lectures Monday 10:00 a.m. - 12:00 p.m. (H14)

Exercise Tuesday 4:00 p.m. -6:00 p.m. (H12)

No exercise class on Oct 18, 2016


Exam (open)

Feb 21, 2017, 10:00 a.m. (H2)

Mar 29, 2017, 10:00 a.m. (H22)

 

General Informations:

 For Students of 'Wirtschaftsmathematik': Course is part of the SOF-Block.

Prerequisites:

Elementary Probability Calculus, Stochastik I and Measure Theory. The level of the course is that of a first year's master course in Mathematics. Therefore all respective students are welcome to attend. Some basic programming knowledge in R would be helpful.

 

Exam:In order to participate in the final exam, it is necessary to earn 50% of the points on the exercise sheets.

Contents:

The lecture "Stochastics 3" is a fundamental part of each statistical education, in which especially estimation and testing in linear models is covered. These models are among the most important models in Statistics and the corresponding procedures are widely used in modeling and evaluation of various statistical problems. Topics covered include:

  • multivariate normal distribution
  • random quadratic forms
  • Least-Squares- and BLUE-estimators
  • Analysis of Variance (ANOVA)
  • Regression analysis

In the lecture, the basic methods and their theoretical properties are derived. These are enlarged upon in the exercise classes along with additional applied issues.


Exercise Sheets

on Moodle.



 

 Literature: 

Link to Semesterapparat

Notes