General information
Below are the lectures offered by our group in the summer semester.
If you would like to write a Bachelor's or Master's thesis in Statistics, please contact Prof. Redenbach.
Lectures in summer term
Contents:
- Linear regression models
- Parametric curve fitting
- Likelihood ratio tests
- Data adaptive model selection
- Analysis of Variance (ANOVA)
- Experimental design
- Stationary stochastic processes
- Autoregressive and ARMA-processes
- Parameter estimation and model selection for time series
- Trend and seasonality
- Forecasting by exponential smoothing and the Box-Jenkins method
- Linear filters
Contact time:
4 SWS / 60 h Lecture
2 SWS / 30 h Tutorials
Prerequisites (Contents):
Elementary probability theory and statistics (e.g. Praktische Mathematik: Stochastik)
Frequency of occurence:
The lecture is given once per year, in the summer term.
Contents:
- Spatial point processes (in R² and R³)
- Point process models (Poisson process, hard-core and cluster processes, Gibbs processes) and their simulation
- Statistical methods for point processes
- Marked point processes and particle processes
Contact time:
2 SWS / 30 h Lecture
Prerequisites (Contents):
The lecture "Stochastic Methods" from the Bachelor degree program in mathematics.
Frequnecy of occurence:
The lecture is irregularly given.
Inhalte:
Statistics of Financial Markets:
- Models and estimation procedures for financial time series (ARCH, GARCH and generalisations), Value-at-Risk
- Copulas and its applications for risk managementbased on multivariate data
Extreme Value Theory:
- Statistical methods to estimate the probability of extreme events or extreme quantiles
Contact time:
2 SWS / 30 h Lecture
Prerequisites (Contents):
The lecture "Regression and Time Series Analysis".
Frequency of occurence:
The lecture is irregularly given.