Course co-ordinator(s): Prof George Streftaris (Edinburgh).
Aims:
This course aims to provide postgraduate students with a broad knowledge of the principal areas of mathematical statistics and statistical methods widely used in actuarial science and finance. Students should have a good grounding in probability before commencement of this course.
This course is only available to MSc Financial Mathematics students.
Summary:
In this course we will cover the following topics:
- Sampling distributions, central limit theorem, t and F distributions
- Estimation – properties of estimators, methods of constructing estimators
- Interval estimation
- Hypothesis testing
- Linear relationships – regression and correlation
Detailed Information
Course Description: Link to Official Course Descriptor.
Pre-requisites: none.
Location: Edinburgh.
Semester: 1.
Learning Outcomes: Subject Mastery
On completion of this course the student should be able to:
- demonstrate knowledge of, and a critical understanding of, statistical methodologies (including the main concepts and methods of inference and modelling)
- understand and apply a range of statistical techniques based on the main theories and concepts which comprise the syllabus, including the central limit theorem
- determine properties of estimators: efficiency, Cramer-Rao lower bound, (approx.) large sample distributions of MLEs
- perform inference on parameter estimates, including constructing confidence intervals and testing hypotheses on the values of parameters
- fit a linear regression model and critically evaluate other proposed models; test hypotheses concerning correlation coefficients
- show an awareness of how different statistical models and techniques can be applied to financial problems
- communicate meaningfully and productively with others (including practitioners and professionals in the financial services industry and elsewhere) on matters relating to and/or requiring the use of statistical methods
Reading list:
None
SCQF Level: 11.
Other Information
Help: If you have any problems or questions regarding the course, you are encouraged to contact the course leader.
Canvas: further information and course materials are available on Canvas