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55753-01 - Vorlesung: Elements of Applied Probability 3 KP

Semester Herbstsemester 2020
Angebotsmuster Jedes Herbstsemester
Dozierende Christian Kleiber (christian.kleiber@unibas.ch, BeurteilerIn)
Inhalt The course intends to provide an overview of useful (and often cheap!) results in probability, results that are beyond the usual undergraduate "(Probability and) Statistics for Business and Economics" course but still far away from industry-strength probability.

In economics departments, probability is often narrowly seen as an input for econometrics, or empirical fields more broadly. The present course will attempt to provide a broader view: applied probability not only as a basis for econometrics and statistics, but also for a better understanding of stochastic models in economics, finance and management science. Measure theory will not be developed, but it will be explained why the more abstract version exists and what it looks like. As always, the limiting factor is mathematics. We aim at an intermediate level emphasizing practically useful results and computation, deeper results will only be sketched or quoted.

The course will be an eclectic mix of loosely related topics. It will not follow a textbook; it should be possible to just sample parts. Topics will include computations of expectations and variances, an overview of useful distributions and methods for constructing new ones, methods for bounding probabilities and expectations (possibly including uses in machine learning), order statistics and their applications. In addition to the topics from last year I will try to include something on stochastic orders and/or dependence concepts, possibly an overview of limit theorems, possibly some dynamic models such as the Poisson process. There will be no data analysis (obviously), but software for simulations or plotting (!), such as R or Matlab, can be helpful.
Lernziele Overview of probabilistic tools beyond the undergraduate level.
Literatur The course will not follow a textbook. General references include

Gupta AK, Zeng WB, Wu Y (2010). Probability and Statistical Models (Foundations for Problems in Reliability and Financial Mathematics), Springer. [available as eBook]

Hong Y (2018). Probability and Statistics for Economists, World Scientific.

Linton O (2017). Probability, Statistics and Econometrics, Academic Press.

Monfort A (1996). Cours de probabilit'es, 3rd ed, Economica.

Ross S (2019). A First Course in Probability, 10 ed, Pearson.

Wasserman L (2005). All of Statistics, Springer.
Bemerkungen This is a course simultaneously addressing beginning PhD students and MSc students with sufficient preparation. It will proceed more quickly than typical MSc level courses.
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Teilnahmebedingungen WWZ students: BA completed. In addition, successful completion of Econometrics (MSc) is strongly recommended.

Other participants: Some background in statistics and mathematics.
Anmeldung zur Lehrveranstaltung Registration: Please enrol in MOnA. EUCOR-Students and students of other Swiss Universities have to enrol at the students administration office (studseksupport1@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam!
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz
Module Modul: Fachlich-methodische Weiterbildung (Doktoratsstudium - Wirtschaftswissenschaftliche Fakultät)
Modul: Wahlbereich (Masterstudium: Wirtschaftswissenschaften)
Leistungsüberprüfung Semesterendprüfung
Hinweise zur Leistungsüberprüfung Depending on the number of participants (up to 15 or more) there will be an oral or a written exam.
An-/Abmeldung zur Leistungsüberprüfung Belegen via MOnA innerhalb der Belegfrist
Wiederholungsprüfung keine Wiederholungsprüfung
Skala 1-6 0,1
Wiederholtes Belegen beliebig wiederholbar
Zuständige Fakultät Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch
Anbietende Organisationseinheit Wirtschaftswissenschaftliche Fakultät / WWZ