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Table Of Contents

Mathematics and Chance
Probability Theory
1 Principles of Modelling Chance
1.1 Probability Spaces
1.2 Properties and Construction of Probability Measures
1.3 Random Variables
Problems
2 Stochastic Standard Models
2.1 The Uniform Distributions
2.2 Urn Models with Replacement
2.3 Urn Models without Replacement
2.4 The Poisson Distribution
2.5 Waiting Time Distributions
2.6 The Normal Distributions
3 Conditional Probabilities and Independence
3.1 Conditional Probabilities
3.2 Multi-Stage Models
3.3 Independence
3.4 Existence of Independent Random Variables, Product Measures
3.5 The Poisson Process
3.6 Simulation Methods
3.7 Tail Events
4 Expectation and Variance
4.1 The Expectation
4.2 Waiting Time Paradox and Fair Price of an Option
4.3 Variance and Covariance
4.4 Generating Functions
5 The Law of Large Numbers and the Central Limit Theorem
5.1 The Law of Large Numbers
5.2 Normal Approximation of Binomial Distributions
5.3 The Central Limit Theorem
5.4 Normal versus Poisson Approximation
6 Markov Chains
6.1 The Markov Property
6.2 Absorption Probabilities
6.3 Asymptotic Stationarity
6.4 Recurrence
Statistics
7 Estimation
7.1 The Approach of Statistics
7.2 Facing the Choice
7.3 The Maximum Likelihood Principle
7.4 Bias and Mean Squared Error
7.5 Best Estimators
7.6 Consistent Estimators
7.7 Bayes Estimators
8 Confidence Regions
8.1 Definition and Construction
8.2 Confidence Intervals in the Binomial Model
8.3 Order Intervals
9 Around the Normal Distributions
9.1 The Multivariate Normal Distributions
9.2 The χ2-, F- and t-Distributions
10 Hypothesis Testing
10.1 Decision Problems
10.2 Neyman–Pearson Tests
10.4 Parameter Tests in the Gaussian Product Model
11 Asymptotic Tests and Rank Tests
11.1 Normal Approximation of Multinomial Distributions
11.2 The Chi-Square Test of Goodness of Fit
11.3 The Chi-Square Test of Independence
11.4 Order and Rank Tests
12 Regression Models and Analysis of Variance
12.1 Simple Linear Regression
12.2 The Linear Model
12.3 The Gaussian Linear Model
12.4 Analysis of Variance
Tables
References
List of Notation
Index
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Stochastics (Hans-Otto Georgii)

Stochastics (Hans-Otto Georgii)

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Published by C.
Hans-Otto Georgii

Stochastics
Introduction to Probability and Statistics

Translated by
Marcel Ortgiese, Ellen Baake and the author

De Gruyter
Hans-Otto Georgii

Stochastics
Introduction to Probability and Statistics

Translated by
Marcel Ortgiese, Ellen Baake and the author

De Gruyter

More info:

Categories:Types, Research
Published by: C. on Jun 15, 2011
Copyright:Traditional Copyright: All rights reserved

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