Statistics Group


General informations

Below are the lectures offered by our working group in the summer semester 2019.

If you would like to write a Bachelor's or Master's thesis in Statistics, please contact Prof. Redenbach.

Important links

  • KIS: dates of the courses
  • URM: registration to the exercises (open til 18 April 2019)
  • OpenOLAT: course materials and further informations (access code will be given in the first lecture)

Lectures in summer term

Below are the lectures offered by our working group in the summer term 2019.

Regression and Time Series Analysis

Contents

  • Linear regression models
  • Methods of least squares and maximum likelihood estimation
  • Confidence bands for regression curves
  • Tests for regression parameters (t and F tests), likelihood ratio test
  • Model validation with residual analysis
  • Data adaptive choice of models (stepwise regression, R² and Mallows C_p)
  • Variance Analysis (ANOVA)
  • Stationary stochastic processes in discrete time
  • Autocovariances, spectral measure and spectral density
  • Linear processes, especially ARMA models
  • Estimator for ARMA parameters (Yule-Walker, least squares, CML)
  • Data adaptive choice of models (AIC, BIC, FPE)
  • Time series with trend or seasonality (SARIMA)
  • Prediction of time series

Contact time

 4 SWS / 60 h Lecture
2 SWS / 30 h  Tutorials

Prerequisites (Contents)

The lecture "Stochastic Methods" from the Bachelor degree program in mathematics.

Frequency of occurence

The lecture is given once per year, in the summer term.

 

 [Link ins KIS]

[Link ins OLAT]

Financial Statistics

Contents

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.

 

 [Link ins KIS]

[Link ins OLAT]

Seminar

Our working group offers the following seminar in the summer term 2019:

Internships

Subjects for internships are presented at the Fachpraktikumsbörse at the end of each semester.

Reading Course

The Reading Course serves as preparation for the Master's thesis. The assignment of topics takes place individually. Please contact Prof. Redenbach if you would like to take a Reading Course in Statistics.

Zum Seitenanfang