Dottorato in Economia e Finanza (ultimo ciclo attivato 28° - anno 2013)

Corso a esaurimento (attivi gli anni successivi al primo)

Probability and Statistics for Economics and Finance

Periodo
The course will take place over 6 weeks (from 16 November 2010 to 21 December 2010) for a total amount of 40 hours. The lessons will take place according to the following calendar: Tuesday, 14.30-18.30 (4 hours); Friday, 14.30-18.30 (4 hours).

URL
http://dse.univr.it/pilar/

Docenti
Marco Minozzo

Cicli in cui è offerta

26° Ciclo

Descrizione

Availability
The course is intended for the 1st year students of the PhD programme in Economics and Finance (A.A. 2010/2011 - XXVI cicle).
Pre-requisites
Introduction to Mathematics and Elementary Statistical Theory. Attendance at more advanced courses such as Real Analysis, Probability, Distribution Theory and Inference would be highly desirable.
Objectives of the course
The purposes of this course are: (i) to explain the formal basis of abstract probability theory, and the justification for basic results in the theory; (ii) to explore those aspects of the theory most used in advanced analytical models in economics and finance; (iii) to give an introduction to some concepts of statistical inference. The approach taken will be formal, but the topics will be illustrated and explained through many examples.

Allegati

Documenti

Seminario collegato al dottorato

Titolo
Likelihood inference in hidden Markov models (Part II)
Riassunto
- The bootstrap filter;
- Some variants of the particle filters;
- Smoothing methods in general state-space models;
- Parameter inference for general state-space models.

Relatore
Prof. Eric Moulines - Institut Télécom / Télécom ParisTech (ENST), Paris