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Online course materials for MATH48001Statistical Inference
Unit code:  MATH48001 
Credit Rating:  15 
Unit level:  Level 4 
Teaching period(s):  Semester 1 
Offered by  School of Mathematics 
Available as a free choice unit?:  N 
Requisites
Prerequisite MATH20701  Probability 2 (Compulsory)
 MATH20802  Statistical Methods (Compulsory)
Additional Requirements
MATH48001 prerequisitesStudents are not permitted to take more than one of MATH38001 or MATH48001 for credit in the same or different undergraduate year. Students are not permitted to take MATH48001 and MATH68001 for credit in an undergraduate programme and then a postgraduate programme.
Aims
This course unit aims to introduce students to the principles of efficient estimation and hypothesis testing and acquaint them with the more successful methods of estimation and of constructing test procedures.
Overview
Statistical Inference is the body of principles and methods underlying the statistical analysis of data. In this course we introduce desirable properties that good estimators and hypothesis tests should enjoy and use them as criteria in the development of optimal estimators and test procedures. This is done both from the Classical/Frequentist as well as from the Bayesian point of view.
Learning outcomes
On successful completion of this module students will be able to:
 derive Fisher information,
 find the CramerRao lower bound for the variances of unbiased estimators,
 use the RaoBlackwell theorem to find an unbiased estimator,
 determine how good an estimator is on a number of criteria,
 formulate estimators and test procedures based both on the maximum likelihood principle and on Bayesian principles,
 state the nonasymptotic and asymptotic properties of maximum likelihood method of estimation,
 construct confidence intervals for parameters for both finite sample sizes and asymptotically as the sample size tends to infinity,
 conduct generalised likelihood ratio tests.
Assessment methods
 Other  20%
 Written exam  80%
Assessment Further Information
 Coursework: weighting 20%
 End of semester examination: three hours, weighting 80%
Syllabus

Estimation: point estimation; unbiasedness; mean squared error; consistency; the score function; Fisher information; CramerRao inequality; efficiency; most efficient estimators; sufficiency; factorisation theorem; minimal sufficiency; Rao Blackwell theorem and its use in improving an estimator.[8]

Methods of estimation: maximum likelihood estimators (m.l.e) and their asymptotic properties; asymptotic distribution of the score function; confidence intervals based on the m.l.e and on the score function; restricted m.l.e and asymptotic properties.[7]

Hypothesis testing: Wald test; the generalised likelihood ratio test; asymptotic form of the generalised likelihood ratio test; multinomial test; Pearson Chisquared statistic; the Deviance function (including graphical methods in obtaining confidence regions for parameters). [9]
 Bayesian inference: introduction, priors, posteriors, conjugate prior, noninformative priors, Jeffrey's non informative prior, Bayesian estimation, predictive distributions, accuracy of an estimate, loss functions and expected posterior loss, optimal decisions with respect to a loss function, credibility intervals, highest posterior density credible intervals, hypothesis tests, large sample Bayesian approximation. [12]
Recommended reading
 Beaumont, G. P., Intermediate Mathematical Statistics. Chapman & Hall 1980.
 Cox, D. R. and Hinkley, D. V., Theoretical Statistics. , Chapman & Hall 1974.
 Lindgren, B. W. Statistical Theory, 4th edition, Chapman & Hall 1993.
 Mood, A. M., Graybill, F. A. and Boes, D. C., Introduction to the Theory of Statistics, 3rd edition, McGrawHill 1974.
 Silvey, S. D., Statistical Inference, Chapman & Hall 1075.
Feedback methods
Feedback tutorials will provide an opportunity for students' work to be discussed and provide feedback on their understanding. Coursework or inclass tests (where applicable) also provide an opportunity for students to receive feedback. Students can also get feedback on their understanding directly from the lecturer, for example during the lecturer's office hour.
Study hours
 Lectures  33 hours
 Tutorials  11 hours
 Independent study hours  106 hours
Teaching staff
Yang Han  Unit coordinator