Advanced inferential statistics - 4MMSIA6

1. Concepts of statistical inference. Statistical model. Likelihood. Sufficiency.
2. Optimal parametric estimation. Minimum variance unbiased estimation. Fisher Information.
3. Maximum likelihood estimation. Likelihood ratio tests.
4. Nonparametric estimation. Order and rank statistics.
5. Extreme values statistics.
6. Functional estimation.
7. Goodness-of-fit tests.

Probability Theory and Applications, Statistical Principles and Methods (first year).

Written exam (3 hours, documents allowed) (E).

N1 = E1
N2 = E2

The course exists in the following branches:

• Curriculum - Math. Modelling, Image & Simulation - Semester 8
• Curriculum - Financial Engineering - Semester 8

Course ID : 4MMSIA6
Course language(s):

The course is attached to the following structures:

• Team Probability-Statistics

You can find this course among all other courses.

Polycopié de cours.
P. EMBRECHTS, C. KLÜPPELBERG, T. MIKOSCH : Modelling extremal events, Springer, 1997.
D. FOURDRINIER : Statistique inférentielle, Dunod, 2002.
A. MONFORT : Cours de Statistique Mathématique, Economica, 1997.
J.A. RICE : Mathematical Statistics and Data Analysis, Duxbury Press, 2006.
G. SAPORTA : Probabilités, analyse des données et statistique, Technip, 2011.
J. SHAO : Mathematical Statistics, Springer, 2003.
P. TASSI : Méthodes statistiques, Economica, 2004.