Course partially running (all years except the first)
Probability and Statistics for Economics and Finance
- Period
- 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/
- Academic staff
-
Marco Minozzo
Series to which this belongs
Description
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.
Attachments
- Documents
-
#Seminario collegato al dottorato#
- Title
-
Likelihood inference in hidden Markov models (Part II)
- Summary
-
- The bootstrap filter;
- Some variants of the particle filters;
- Smoothing methods in general state-space models;
- Parameter inference for general state-space models.
- Supervisor
-
Prof. Eric Moulines
- Institut Télécom / Télécom ParisTech (ENST), Paris
