Professor JOEL OWEN

B90.3302

Statistical Inference and Regression Theory


office:  Room 8-63 KMC

tel:  212- 998 -0446

e-mail:  jowen@stern.nyu.edu

fax:  212-995-4003

office hours:  5:00 to 6:00 T or by appointment

class meeting: Tuesday from 6:00 p.m until 8:50 p.m  in Room ? KMC

first class: January  16,  2001

text: There will be two books that will be used in the course. The first is  Introduction to Mathematical Statistics (MS) by R.V. Hogg and A.T. Craig, 5th edition, 1995, Prentice Hall and the second is Regression Analysis (RA) by A.Sen and M. Srivastava, 1990, Springer-Verlag. 

grading policy: There will be a midterm examination as well as a final examination. There will also be a weekly assignment to be handed in on time. Late assignments will not be accepted. Since the working of problems is critical to the understanding of the material, your effort toward the timely submission of assignments will contribute to your grade. The midterm and the final grades will each count for 40% toward the course grade with the weekly assignments contributing the remaining 20%. There will be no makeup examinations except with special arrangements made under extremely special circumstances.

prerequisites: The prerequisite for the course is Introduction to Probability (B90.3301). It is also assumed that the student is reasonably comfortable with matrix algebra and calculus. These skills are essential for the course.


 

SYLLABUS

I.                   Estimation 

            (MS) Chapter 6: sections 6.1 to 6.3

II.                Sufficient Statistics 

            (MS) Chapter 7: sections 7.2 and 7.3

III.             Estimation (cont.)

            (MS) Chapter 8: sections 8.2 and 8.3

IV.              Statistical Tests

            (MS) Chapter 6: sections 6.4 to 6.6 and Chapter 9: sections 9.1 to 9.3

V.                 Simple Regression

            (RA) Chapter 1: sections 1.1 to 1.10

VI.              Multiple Regression

            (RA) Chapter 2: sections 2.1 to 2.11

VII.           Tests

            (RA) Chapter 3: sections 3.1, 3.2, 3.5, 3.6, and 3.8

VIII.        Indicator Variables

            (RA) Chapter 4: 4.1 to 4.4

IX.              Violation of Basic Assumptions

            (RA) Selections from chapters 5 through 9

X.                 Multicollinearity

                 (RA) Chapter 10: sections 10.1 to 10.3

XI.              Variable Selection

            (RA) Chapter 11: sections 11.1, 11.2.1, 11.3.1, 11.3.2, and 11.4

THERE MAY BE MODIFICATIONS IN THIS SYLLABUS DUE TO TIME OR OTHER CONSTRAINTS