140.772.01 ADVANCED STATISTICAL THEORY II
- 2nd term
- 4 credits
- Academic Year:
- 2014 - 2015
- East Baltimore
- Class Times:
- Tu Th, 1:30 - 2:50pm
140.771; Real Analysis, Measure-Theoretic Probability, Introduction to Statistical Theory I-II
Focuses on drawing large sample inferences about "parameters" in statistical models. Develops asymptotic theory for maximum
likelihood estimation, M-estimation, and generalized method of moment (GMM) estimation. Discusses formal techniques for
constructing estimators in semi-parametric models. Pays particular attention to models for longitudinal and survival data. Special
topics presented by guest lecturers.
Involves rigorous mathematical arguments
so that familiarity with concepts in
advanced calculus, real analysis, and
measure theory will be required.
- Learning Objectives:
- Understand large sample theory underlying commonly used statistical procedures such as maximum likelihood, M-estimation, and GMM-estimation.
- Understand the foundations of semiparametric inference.
- Understand the foundations of the counting process approach to survival analysis.
- Methods of Assessment:
Over two terms (140.771-772): 4
collaborative homeworks (40%); 2 independent homeworks (40%); 1 final project (20%).
Final grade applies to all terms
- Instructor Consent:
No consent required
- Special Comments:
Grade for 140.771 and 772 given at completion of 140.772