Statistical Inference

Syllabus

1. Organization
• Contact information
– Lingwei Kong DUI 765 L.Kong@rug.nl
– Daniël Vullings DUI 724 D.Vullings@rug.nl
– Teaching assistant: David Anthonio d.a.r.anthonio@student.rug.nl
• Please use the discussion board on Nestor for questions regarding the
course material, so that others can also benefit from the answers
• Schedule: https://rooster.rug.nl/#/nl/current/schedule/course-EBB075A05
2. Helpful background knowledge
• Mathematics: Functions of Several Variables, Derivatives, Integrals,
Logarithms,...
• Probability Theory: Random Variables,...
• Sampling and Estimation: Random Samples, Estimators, Unbiased-
ness, Efficiency,...
• Hypothesis Testing: Null, Alternative, Level, Power, t-test, ...
• (Econometric/Statistical Software, for example R)
3. Content of the course
• Continuation of previous statistics courses
• Estimation of parameters using the likelihood function
• Study of the properties of these estimators
• Convergence of random variables necessary to study the above topics
• Derivation of new estimators and tests
• For more details see: https://www.rug.nl/ocasys/rug/vak/show?
code=EBB075A05 and the elaborate course outline
4. Setup of the course
The course consists of knowledge clips, one lecture, one regular tutorial,
and one additional tutorial. It is important to participate in at least the
first three elements of the course.
The knowledge clips are the main source for theory presented by us. Each
knowledge clip considers one topic and is therefore typically short. All
theory will be discussed in the knowledge clips. We hope that the short
videos allow you to navigate easily between topics.
During the lecture the theory will be discussed in presentations by stu-
dents. Every week except the first week, topics will be assigned to groups
and students will present the topic during the lecture in 5-10 minute pre-
sentations. Students can make use of the knowledge clips to construct their

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 presentation but should present in their own words. The presentation will
be graded and the grade counts for 5 percent of the final grade. Students
can select a group of four students themselves and it is not mandatory for
all group members to present. Discussion between presenters and the room
is highly encouraged. Active participation through asking questions and
making comments is noted and will result in another grade that counts for
5 percent of the final grade. In between presentations we will connect the
topics. Depending on how much time is left, we may give a presentation
with background knowledge or workout an exercise as well.
For the tutorial you have the option to hand in the homework assignments,
found in the homework collection, in groups of 4 every Thursday before
11 AM.1 The assignments have to be made using LATEX and can be handed
in via Nestor. If the handed in assignments show that the group has made
a serious attempt to solve the exercises, the group will receive 1 point.
If no serious attempt was made, the group will receive 0 points. During
the tutorials on Thursday we will demonstrate how to solve the exercises
and, if time permits, give an example for the homework of the subsequent
week. Actively participating will contribute to your discussion grade. The
number of points collected with the homework will be used to construct a
grade that counts for 10 percent of the final grade. Specifically, 7 points
will give a 10, 6 points a 9, 5 points a 7, 4 points a 5, 3 points a 4, 2 points
a 3, 1 point a 2 and 0 points a 1.
The extra tutorial is aimed at students that struggle with the course and
feel they need extra help. For students that do not feel they struggle, this
tutorial is not necessary. During the tutorial you are expected to show an
active attitude and by attending you volunteer to be asked to work out
examples on the blackboard. The focus of the tutorial will be to solve the
exercises from the exercise collection (with solutions) that will be made
available on Brightspace. Again, actively participating will contribute to
your discussion grade. To attend this tutorial, you can enroll on a weekly
basis the Monday before the tutorial before 4 PM.
Finally, there is also a Discussion board. You can use the Discussion
board to ask questions or answer questions of fellow students. Answering
questions of fellow students will also be counted for your discussion grade
(but only being active on the Discussion board will not result in a passing
grade). Of course, we will monitor the quality of the answers.
The tutorial enrollment opens September 1 at 9 AM. The group enrollment
for the exercises and presentations opens September 5 at 1 PM. Be quick
with finding a group to make sure there is enough time to make the first
assignment. If you haven’t found a group by Wednesday September 7 at
9 AM, send an email to D.Vullings@rug.nl and make the first homework
assignment by yourself.
The content of the course can be abstract and the exercises are tough.
We encourage you therefore to make the most out of the knowledge clips,
the lecture, and the tutorials. We recommend to take a look at the slides
before watching the lecture videos. Try to make all the exercises of the
homework assignments instead of dividing the tasks.
1 The same group as for the presentation of the lectures.

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 The grade of the course is given by

Grade =0.8 ∗ (Grade exam) + 0.1 ∗ (Grade homework)

+ 0.05 ∗ (Grade presentation) + 0.05 ∗ (Grade discussion).

5. Literature:
Azzalini, A. Statistical Inference, based on the likelihood (1996) Chapman
& Hall
The book from Azzalini is not mandatory but can be used as additional
material as we follow a structure similar to the book. The exercises in the
book can be used as additional material to practice although no solutions
will be made available. During office hours you can of course ask questions
about these exercises.
For complementary reading on stochastic convergence consider (the title
is in Dutch, the book is not)
Vaart van der, A.W. Mathematische statistiek (1995)2
https://staff.fnwi.uva.nl/p.j.c.spreij/onderwijs/TI/AsympStat-LecNotes2010.
pdf

2 This book treats the topic in a much more extensive way than we will do.

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6. Schedule (based on the slides)

Lecture topic a source

1.1 Likelihood Azz. Ch. 1,2.1-2
1.2 Sufficiency Azz. Ch. 2.3
2.1 Exponential Families Azz. Ch. 2.4
2.2 Maximum Likelihood Estimation Azz. Ch. 3.1
3.1 Fisher Information and efficiency Azz. Ch. 3.2
3.2 Overview of finite sample theory
and introduction in asymptotic theory
4.1 Stochastic convergence part 1 & 2 Azz. App. & Vaart Ch. 1
4.2 Stochastic convergence part 3 Azz. App. & Vaart Ch. 1
5.1 Maximum likelihood estimation asymptotics Azz. App. & Ch. 3.3
5.2 Numerical aspects maximum likelihood estimation Azz. Ch. 3.2
6.1 Hypothesis testing Azz. Ch. 4.1-4
6.2 Hypothesis testing Azz. Ch. 4.1-4
7.1 Interval estimation Azz. Ch. 4.5
7.2 Review