Core Curriculum

Statistics

Course Outline

There are a total of 12 lectures, each running for 3 hours.

SessionTopicsReadingsHomeworks
1 Basic statistics, distributions, hypothesis testing, maximum likelihood Lecturer handout hw1
2 Linear regression Lecturer handout hw2
3 Univariate time series analysis, white noise, AR, MA, ARMA, ARIMA, and GARCH Lecturer handout hw3
4 Kalman filter, dynamic system model Lecturer handout hw4
5 Multivariate time series and cointegration Lecturer handout hw5
6 Longitudinal data analysis Lecturer handout hw6
7 Measures (real analysis) and probability Lecturer handout hw7
8 Brownian motion calculus, Ito’s lemma Lecturer handout hw8
9 Calculus for martingales and semi-martingales Lecturer handout hw9
10 Extreme value theory Lecturer handout hw10
11 Markov chain Lecturer handout hw11
12 Bootstrapping Lecturer handout hw12