STAT 511 (28038)    Advanced Statistical Theory I   Fall Semester 2008

Monday, Wednesday, Friday, 01:00 p.m. to 01:50 p.m., Room 103 SH

Instructor: Klaus J. Miescke

Office: 513 SEO

Office Hours: Monday, Wednesday, Friday 12:00 p.m. to 12:50 p.m. (or by appointment)

Phone: (312) 996-2443

E-Mail: klaus@uic.edu

 

This course presents an introduction to statistical decision theory, to be continued with Stat-512 in the

spring of 2009. Statistical decision theory is a unifying approach toward optimal statistical inference,

with estimation, testing, and selection as special cases. Both, the frequentist and the Bayes approach

are studied thoroughly. Topics included are statistical models (exponential families), sufficiency, and

invariance. Decision rules studied are estimators, tests, confidence regions, and selection procedures.

Measure theoretic tools are introduced as need arises. The material presented is based on the recently

published book by F. Liese and myself.

 

Text: F. Liese and K.-J. Miescke, “Statistical Decision Theory: Estimation, Testing, and Selection”,

Springer, New York, 2008.