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

Semester Herbstsemester 2022
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 this 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, possibly the Poisson process. In addition to the topics from previous years I will try to include something on stochastic orders and/or dependence concepts, possibly an overview of limit theorems. 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 specific 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]

Gut A (2009). An Intermediate Course in Probability, 2nd ed. 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 Students majoring in business and economics: BA completed. In addition, successful completion of Econometrics (MSc) is strongly recommended.

Other participants: Some background in statistics and mathematics, roughly 'engineering level'.
Anmeldung zur Lehrveranstaltung Registration: tba
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz

 

Intervall Block
Datum 22.08.2022 – 02.09.2022
Zeit Siehe Detailangaben
Datum Zeit Raum
Montag 22.08.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Dienstag 23.08.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Mittwoch 24.08.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Donnerstag 25.08.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Freitag 26.08.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Montag 29.08.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Montag 29.08.2022 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Dienstag 30.08.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Mittwoch 31.08.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Mittwoch 31.08.2022 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S13 HG.35
Donnerstag 01.09.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Freitag 02.09.2022 10.15-12.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Module Modul: Core Courses in Data Science and Computational Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Fachlich-methodische Weiterbildung (Doktoratsstudium - Wirtschaftswissenschaftliche Fakultät)
Modul: Field Electives in Economics and Public Policy (Masterstudium: Economics and Public Policy)
Modul: Specific Electives in Business and Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Data Science and Computational Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Wahlbereich (Masterstudium: Wirtschaftswissenschaften (Studienbeginn vor 01.08.2021))
Leistungsüberprüfung Leistungsnachweis
Hinweise zur Leistungsüberprüfung For PhD students, there will be an oral exam. For MSc students, depending on the number of participants (up to 15 or more), there will be an oral or a written exam.

In addition, there will be (at least) one assignment, accounting for 30% of the overall grade.
An-/Abmeldung zur Leistungsüberprüfung An- und Abmelden: Dozierende
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

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