Class
meetings: Monday
and Wednesday 2:00 - 3:15, in Hanes 125.
Prerequisites:
Elementary
probability (see below for more details) and at least one semester of
real analysis.
Instructor:
Andrew B. Nobel,
Department of Statistics and Operations Research
Office: Hanes
308 Phone: 962-1352.
Office
Hours: Monday 10:30am-11:30am, Wednesday 9am-10am
(subject to change -- please check)
Teaching
assistant:
Dong Wang
Office: B35 Hanes Email:
dvwang@live.unc.edu
Grader's
Office
Hours: Tuesday and Thursday 2:30 - 3:30
Homework
policy:
Homework
problems will be assigned periodically throughout the
semester. Each homework assignment will be graded:
late/missed homeworks will receive a grade of zero. Students
are welcome to discuss the homework problems with other
members of the class, but should prepare their final answers
on their own. If you have any questions concerning the
grading of homework, please speak first with the TA. If you
are absent from class when an assignment is returned, you
can get your homework from the TA during their office hours.
Exams:
There will be
one in-class midterm exam, and a comprehensive final
examination. Each will be closed book, closed notes.
|
Midterm
1
|
Wednesday
19 October |
|
Final
|
The default time is that listed in the course directory. The exam will be in class. |
Grading: Course
grades will be calculated as follows:
|
Homework |
15% |
|
Midterm 1 |
35% |
|
Final |
50% |
Required Text: The
lectures will (roughly) follow the book "Statistical
Inference", Second Edition, by G. Casella and R.L. Berger,
Duxbury, 2002.
Prerequisites:
Students should be familiar with basic undergraduate
probability, including the topics listed below.
1. Basic properties of
probablities, random variables. Probability mass
functions and probability density functions. Cumulative
distribution functions.
2.
Binomial, geometric, hypergeometric, Poisson, and negative
binomial distributions.
3.
Gaussian, uniform, exponential, double exponential, gamma,
chi-squared and beta distributions. F and t
distributions.
4. Joint probability mass/density functions, independence.
4.
Expected values, moments, variance and covariance.
5.
Distributions of functions of a random variable. General
change of variables formula.
Prerequisites
can
be found in Casella and Berger: 1.1-6, 2.1-3, 3.1-3, 4.1-3,
4.5-6, 5.1-2. (Note that these sections also contain
some material that is not prerequisite for the course.)
Students may also wish to consult the textbook "A
First Course in Probability", by Sheldon Ross, or the
``bootcamp'' lecture notes.
Tentative Syllabus: The course is intended to introduce students to
some of the basic ideas and techniques of (non-asymptotic)
statistical inference from a theoretical point of view. The
course is not measure-theoretic, but we will be
mathematically rigorous whenever possible. The following is
an overview of the topics covered in the course.
1. Order statistics,
Stirling's formula and convexity.
2. Inequalities:
Jensen, Holder, Cauchy-Schwartz, Association (correlation),
Markov and Chebyshev.
3.
Elements of decision theory. Admissability, Bayes and minimax
procedures.
4.
Principles of data reduction: Sufficiency, minimal
sufficiency, ancillarity and completeness (Chapter 6 of C-B)
5.
Introduction to point estimation: maximum likelihood, method
of moments, information inequality, UMVUE (Chapter 7 of C-B)
6.
Introduction to hypothesis testing: likelihood ratio tests,
Neyman-Pearson theory, extensions (Chapter 8 of C-B)
7.
Introduction to confidence intervals: inverting test
statistics, pivotal quantities, optimality properties (Chapter
9 of C-B)
"Mathematical Statistics",
Second Edition, by P.J. Bickel and K.A. Doksum, Prentice Hall,
2001.
"Theory of Point Estimation'', by E.L. Lehmann, Wadsworth,
1991.
"Mathematical Statistics",
Second Edition, by J. Shao, Springer, 2003.
Other Texts of Potential Interest:
"Elements
of Information Theory", by T. Cover and J. Thomas, Wiley,
1991.
"Combinatorial
Methods
in Density Estimation", by L. Devroye and G. Lugosi, Springer,
2001.
(More on probability inequalities. See also the nice
lecture notes on concentration inequalities by Boucheron,
Lugosi and Massart, available from Lugosi's web page.)
"Principles
of Mathematical Analysis", Third Edition, by W. Rudin, McGraw
Hill. (This book is a good reference for real analysis.)
"Linear
Algebra and its Applications", Third Edition, by G. Strang,
Saunders, 1988. (This book gives a good basic overview of
linear algebra.)
"Asymptotic
Statistics",
by A.W. van der Vaart, Cambridge University Press, 2000.
(A good advanced text on theoretical statistics.)
"Linear Statistical Inference
and its Applications", by C.R. Rao, Wiley, 1973.
"The Cauchy-Schwartz Master Class'', J.M. Steele, Cambridge,
2004. (A very well written and insightful book on basic
inequalities, which can be read with relatively little
background. Contains many interesting problems, with
solutions.)