MAT12 Mathematical Statistics

• Topics

  The course deals with probability theory and methods for statistical inference and is preparing students for future studies in business analytics, econometrics and statistics. The statistical software R is used in the course.

  - Stochastic variables, probability distributions, one- and multivariate

  - Transformations of variables; moments

  - Special distributions: Normal, exponential, Gamma, Beta, t, F and chisquare.

  - Modes of convergence: in probability, in distribution; law of large numbers and the central limit theorem

  - Sample distributions

  - Estimation: The maximum likelihood principle, consistency and efficiency

  - Hypothesis testing: The likelihood ratio method

  - Bayesian methods

• Learning outcome

  Knowledge

  After completing the course the student

  • knows the theory foundation for the statistical methods studied at the compulsory courses in statistics
  • has knowledge to solve statistical problems which does not have a worked out solution in introductory text books in economic statistics

  Skills

  After completing the course the student can

  • formulate a stochastic model based on a given decision problem
  • fit this model to a data set
  • evaluate the uncertainty in this fit

  Generell competence

  After completing the course the student is prepared to

  • a faster progression in quantitative courses in later master studies
  • read more advanced articles in economic journals, particularly with respect to econometrics

• Teaching

  The teaching is given in the form of lectures, where both theory, examples and exercises is discussed.

• Recommended prerequisites

  MAT10 Analyse og lineær algebra (Calculus and Linear Algebra)

• Required prerequisites

  MET040/MET2 - Statistikk for økonomer (Statistics for Economists)

• Credit reduction due to overlap

  Corresponds to MAT013

• Compulsory Activity

  A compulsory assignment must be passed in order to attend the written exam.

• Assessment

  5 hours written school exam.

• Grading Scale

  A - F

• Computer tools

  R

• Literature

  (HT) Hogg, Tanis and Zimmerman: Probability and statistical inference 9ed, Pearson, 2015 (8ed, Prentice Hall, 2010, by Hogg and Tanis is also possible to use)

• Permitted Support Material

  Calculator

  One bilingual dictionary (Category I)

  All in accordance with Supplementary provisions to the Regulations for Full-time Study Programmes at the Norwegian School of Economics Ch.4 Permitted support material https://www.nhh.no/en/for-students/regulations/https://www.nhh.no/en/for-students/regulations/and https://www.nhh.no/en/for-students/examinations/examination-support-materials/https://www.nhh.no/en/for-students/examinations/examination-support-materials/