# Mathematical Statistics - MA5507

Location Term Level Credits (ECTS) Current Convenor 2019-20
Canterbury Autumn
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5 15 (7.5) DR A Laurence

### Pre-requisites

Prerequisite: MAST4006 (Mathematical Methods 1), MAST4007 (Mathematical Methods 2), MAST4009 (Probability), MAST4011 (Statistics)

None

2019-20

## Overview

Probability: Joint distributions of two or more discrete or continuous random variables. Marginal and conditional distributions. Independence. Properties of expectation, variance, covariance and correlation. Poisson process and its application. Sums of random variables with a random number of terms.

Transformations of random variables: Various methods for obtaining the distribution of a function of a random variable —method of distribution functions, method of transformations, method of generating functions. Method of transformations for several variables. Convolutions. Approximate method for transformations.

Sampling distributions: Sampling distributions related to the Normal distribution — distribution of sample mean and sample variance; independence of sample mean and variance; the t distribution in one- and two-sample problems.

Statistical inference: Basic ideas of inference — point and interval estimation, hypothesis testing.

Point estimation: Methods of comparing estimators — bias, variance, mean square error, consistency, efficiency. Method of moments estimation. The likelihood and log-likelihood functions. Maximum likelihood estimation.

Hypothesis testing: Basic ideas of hypothesis testing — null and alternative hypotheses; simple and composite hypotheses; one and two-sided alternatives; critical regions; types of error; size and power. Neyman-Pearson lemma. Simple null hypothesis versus composite alternative. Power functions. Locally and uniformly most powerful tests. Composite null hypotheses. The maximum likelihood ratio test.

Interval estimation: Confidence limits and intervals. Intervals related to sampling from the Normal distribution. The method of pivotal functions. Confidence intervals based on the large sample distribution of the maximum likelihood estimator – Fisher information, Cramer-Rao lower bound. Relationship with hypothesis tests. Likelihood-based intervals.

44 hours

## Method of assessment

80% Examination, 20% Coursework

## Indicative reading

MILLER, I. and MILLER, M. (2014) John E. Freund's Mathematical Statistics with Applications. 8th international edition. Pearson Education, Prentice Hall, New Jersey.
LINDLEY, D.V. and SCOTT, W.F. (1995) New Cambridge Statistical Tables. 2nd edition.
HOGG, R., CRAIG, A. and McKEAN, J. (2003) Introduction to Mathematical Statistics. 6th international edition.
LARSON, H. J. (1982) Introduction to Probability Theory and Statistical Inference. 3rd edition.
SPIEGEL, M. R, SCHILLER, J. and ALU SRINIVASAN, R. (2013) Schaum's Outline of Probability and Statistics. 4th edition.
LEE, P. M. (2012) [for level 6 students] Bayesian Statistics an Introduction. 4th edition. (ebook)

See the library reading list for this module (Canterbury)

## Learning outcomes

The intended subject specific learning outcomes. On successfully completing the level 5 module students will be able to:

1 demonstrate knowledge and critical understanding of the well-established principles within probability and inference;
2 demonstrate the capability to use a range of established techniques and a reasonable level of skill in calculation and manipulation of the material to solve problems in the following areas: joint, marginal and conditional probability distributions, to derive distributions of transformed random variables, to calculate point and interval estimates of parameters and to perform tests of hypotheses;
3 apply the concepts and principles in probability and inference in well-defined contexts beyond those in which they were first studied, showing the ability to evaluate critically the appropriateness of different tools and techniques.

The intended generic learning outcomes. On successfully completing the level 5 module students will be able to:

Demonstrate an increased ability to:
1 manage their own learning and make use of appropriate resources;
2 understand logical arguments, identifying the assumptions made and the conclusions drawn;
3 communicate straightforward arguments and conclusions reasonably accurately and clearly;
4 manage their time and use their organisational skills to plan and implement efficient and effective modes of working;
5 solve problems relating to qualitative and quantitative information;
6 make use of information technology skills such as online resources (moodle), internet communication;
7 communicate technical material competently;
8 demonstrate an increased level of skill in numeracy and computation.

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