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.