Probability and Statistical Inference

A PhD-level course on probability theory and the foundations of statistical inference, given at NHH Norwegian School of Economics. The schedule below lists each topic with lecture slides, detailed notes, dates, and reading. The compulsory coursework is on the assignment page.

The main text in this course is the classical Statistical Inference by Casella and Berger (CB), but the introductory material follows the structure set out in Introduction to Mathematical Statistics by Hogg, McKean and Craig (HMC). The lecture notes should, however, be sufficient reading for this material.

Topic	Problems	Date(s)	Reading
1Review of Basic Probability		25 AUG, 27 AUG	HMC, Ch. 1
2Distributions of Random Variables		03 SEP	HMC, Ch. 3; CB, §3.2–3.4
3Multiple Random Variables		08 SEP	CB, §4.1–4.3, 4.5–4.6
4Sampling and Elementary Statistical Inference		17 SEP, 22 SEP	CB, §5.1–5.4
5Limit Theory		29 SEP, 06 OCT	CB, §5.5
6Maximum Likelihood Estimation	–	20 OCT, 27 OCT	CB, §7.1–7.2
7Principles of Data Reduction	–	29 OCT	CB, §6.1–6.4
8A Whirlwind Tour — Some Ways Forward	–	-	No set reading; see notes