Course detail

Probability and Statistics III

FSI-SP3Acad. year: 2011/2012

This course is concerned with the following topics: theory of estimation, maximum likelihood, method of moments, bayesian methods of estimation, testing statistical hypotheses, nonparametric methods, exponential family of distribution, asymptotic tests.

Language of instruction

Czech

Number of ECTS credits

4

Mode of study

Not applicable.

Guarantor

doc. RNDr. Jaroslav Michálek, CSc.

Department

Institute of Mathematics (ÚM)

Learning outcomes of the course unit

Students acquire needed knowledge from important parts of mathematical statistics, which will enable them to evaluate and develop stochastic models of technical phenomena and processes based on these methods and realize them on PC.

Prerequisites

Rudiments of probability theory and mathematical statistics, linear models.

Co-requisites

Not applicable.

Planned learning activities and teaching methods

Teaching methods depend on the type of course unit as specified in the article 7 of BUT Rules for Studies and Examinations.

Assesment methods and criteria linked to learning outcomes

Course-unit credit requirements: active participation in seminars, mastering the subject matter, passing both written exams and semester assignment acceptance. Preparing and defending a project. Evaluation according to the number of points from the project: excellent (90 - 100 points), very good (80 - 89 points), good (70 - 79 points), satisfactory (60 - 69 points), sufficient (50 - 59 points), failed (0 - 49 points).

Course curriculum

Not applicable.

Work placements

Not applicable.

Aims

The course objective is to make students majoring in Mathematical Engineering acquainted with methods of estimation theory, asymptotic approach to statistical hypotheses testing and prepare students for independent applications of these methods for statistical analyse of real data

Specification of controlled education, way of implementation and compensation for absences


Attendance at seminars is controlled and the teacher decides on the compensation for absences.

Recommended optional programme components

Not applicable.

Prerequisites and corequisites

Not applicable.

Basic literature

Anděl, J. Základy matematické statistiky. Matfyzpress. Praha 2005 (CS)

Recommended reading

Militký, J.: Statistické techniky v řízení jakosti. Pardubice : TriloByte, 1996. (CS)

Classification of course in study plans

  • Programme N3901-2 Master's

    branch M-MAI , 1 year of study, winter semester, compulsory

Type of course unit

 

Lecture

26 hod., optionally

Teacher / Lecturer

doc. RNDr. Jaroslav Michálek, CSc.

Syllabus

Unbiased and consistent estimates
Regular family of distributions, Rao - Cramér theorem, efficient estimates
Fisher information and Fisher information matrix
Sufficient statistics, Neuman factorization criterion
Rao - Blackwell theorem and its applications
Method of moments, maximum likelihood method
Bayes approach
Testing statistical hypotheses
Principles of nonparametric methods
Exponential family of distribution
Asymptotic tests based on likelihood function
Tests with nuisance parameters, examples
Tests of hypotheses on parameters

Computer-assisted exercise

13 hod., compulsory

Teacher / Lecturer

doc. RNDr. Jaroslav Michálek, CSc.

Syllabus

Survey of probability distributions, graphs of densities in MATLAB
Unbiased and consistent estimates - examples of estimates and verification of their properties
Computation of the lower bound for variance of unbiased estimates
Determination of Fisher information and Fisher information matrix for given distributions
Applications of Neuman factorization criterion
Findings estimates by Rao - Blackwell theorem
Estimator’s determination by method of moments and by maximum likelihood method
Estimator’s determination by Bayes method
Project setting - finding parameters estimates for given distribution - application at least two approaches, verification properties of the estimates and their numerical computation
Verification of exponential family for given distribution
Application of asymptotic tests based on likelihood function
Tests with nuisance parameters, estimates of parameters for Weibull and gamma distribution
Tests of hypotheses on parameters of generalized linear model