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

Semester Herbstsemester 2024
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 data analysis 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. 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. Measure theory will not be developed. If time permits, it will be sketched why this more abstract version exists and what it looks like.

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).

Software / programming language: Software for simulations or plotting (!), such as R or Matlab, can be helpful.
Lernziele Overview of probabilistic concepts and tools beyond the undergraduate level, among others including inequalities for probabilities and expectations, the moment generating function, order statistics.
Literatur The course will not follow a specific textbook. General references include

Gut A (2009). An Intermediate Course in Probability, 2nd ed. Springer. [available as eBook]

Hansen BE (2022). Probability and Statistics for Economists, Princeton University Press.

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

Linton O (2017). Probability, Statistics and Econometrics, Academic Press. [available as eBook]

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

Ross S (2019). A First Course in Probability, 10th 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.
Weblink OLAT Weblink

 

Teilnahmebedingungen Students from Master's programmes of the Faculty of Business and Economics: Completed Bachelor's degree. In addition, successful completion of 12036 'Econometrics' (MSc) and 18545 Advanced Mathematics for Economics' (MSc) is strongly recommended.

Other participants: Some background in statistics and mathematics, roughly 'lower engineering level'.
Anmeldung zur Lehrveranstaltung Registration: Please enroll in the Online Services (services.unibas.ch);

Eucor-Students and mobility students of other Swiss Universities or the FHNW first have to register at the University of Basel BEFORE the start of the course and receive their login data by post (e-mail address of the University of Basel). Processing time up to a week! Detailed information can be found here: https://www.unibas.ch/de/Studium/Mobilitaet.html After successful registration you can enroll for the course in the Online Services (services.unibas.ch).

Applies to everyone: Enrolment = Registration for the course and the exam!
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz
HörerInnen willkommen

 

Intervall Wochentag Zeit Raum
wöchentlich Mittwoch 14.30-16.00 Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39

Einzeltermine

Datum Zeit Raum
Mittwoch 18.09.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39
Mittwoch 25.09.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39
Mittwoch 02.10.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39
Mittwoch 09.10.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Mittwoch 16.10.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Mittwoch 23.10.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39
Mittwoch 30.10.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39
Mittwoch 06.11.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39
Mittwoch 13.11.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39
Mittwoch 20.11.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Mittwoch 27.11.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31
Mittwoch 04.12.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32
Mittwoch 11.12.2024 14.30-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Seminarraum S16 HG.39
Module Modul: Core Courses in Data Science and Computational Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Fachlich-methodische Ausbildung (Promotionsfach: Staatswissenschaften)
Modul: Fachlich-methodische Weiterbildung (Doktoratsstudium - Wirtschaftswissenschaftliche Fakultät (Studienbeginn vor 01.02.2024))
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)
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 Anm.: Belegen Lehrveranstaltung; Abm.: stornieren
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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