Stochastics III

Prof. Dr. Volker Schmidt

Teaching assistant
Dipl.-Math. David Neuhäuser

Time and place

Monday, 10-12 in H14

Exercise session
Wednesday, 12-14 in H14 (every 2 weeks only)


2 hours lecture + 1 hour exercises (Credit points: 4)


Probability Calculus, Stochastics I

Intended Audience

Bachelor/Master students in Mathematik, Wirtschaftsmathematik, Mathematische Biometrie and Finance, Diploma students in Mathematik, Wirtschaftsmathematik.


Main topics of the lecture are:

  • multivariate normal distribution
  • linear und general linear models
  • Non-parametric tests

A current version of the manuscript can be found here.


Sheet 1

Sheet 2

Requirements and Exam

In order to become accredited for the written exam, one has to earn 50% of all homework credits.



  • Büning, H., Trenkler, G. (1994)
    Nichtparametrische statistische Methoden
    de Gruyter, Berlin

  • Cressie, N.A. (1993)
    Statistics for Spatial Data
    J. Wiley & Sons, New York

  • Dobson, A.J. (2002)
    An Introduction to Generalized Linear Models
    Chapmen & Hall, Boca Raton

  • Hastie, T., Tibshirani, R., Friedman, J. (2001)
    The Elements of Statistical Learning
    Springer, New York

  • Koch, K.R. (1997)
    Parameterschätzung und Hypothesentests in linearen Modellen
    Dümmlers-Verlag, Bonn

  • Lehmann, E.L. (1999)
    Elements of Large-Sample Theory
    Springer, New York

  • Lehmann, E.L., Romano, E.J. (2005)
    Testing Statistical Hypotheses
    Springer-Verlag, New York

  • Vapnik, V.N. (1998)
    Statistical Learning Theory
    J. Wiley & Sons, New York



Teaching Assistant