Stat 211: Statistical Inference

Spring 2014

Professors: Joe Blitzstein (blitzstein@stat.harvard.edu), Tirthankar Dasgupta (dasgupta@stat.harvard.edu) Lectures: TTh 1 - 2:30 PM in SC 216 Course Webpage: http://www.courses.fas.harvard.edu/1946 Teaching Fellow: Peng Ding (pengding@fas.harvard.edu) Sections and Oce Hours: TBA Text: Handouts and scribe notes from class. Some useful but optional additional references are Statistical Models by Davison, All of Statistics by Wasserman, Statistical Inference by Casella and Berger, and Statistical Inference by Garthwaite, Jollie, and Jones. Prerequisites: Stat 210 and a previous statistics course, or permission from the faculty. Grading: Homework (30%), midterm on March 13 (20%), nal exam (40%), participation (10%). Description: Inference: frequency, Bayes, decision analysis, foundations. Likelihood, suciency, and information measures. Models: Normal, exponential families, multilevel, and non-parametric. Point, interval and set estimation; hypothesis tests. Computational strategies, large and moderate sample approximations. Goals: Foundations: Inference and decision, probability, likelihood, optimality, freq/Bayes unication. Skills: Proofs, derivations, approximations, modeling, intuition, interplay of general and specic. Tentative Schedule:
Mtg 1-2 3-4 5-6 7-8 9-10 11-12 13-14 Tue 1/28 2/4 2/11 2/18 2/25 3/4 3/11 Thu 1/30 2/6 2/13 2/20 2/27 3/6 3/13 Topics Likelihood functions, freq/Bayes unification, models. (JB) Sufficiency, completeness, ancillarity, NEFs. (TD) Fisher information. Estimation: UMVUE, MoM, MLE. (JB) MLE: consistency, asymptotics, computation. Nuisance param. (TD) Interval estimation, variance stabilization. (TD/JB) Bayesian inference, conjugate distributions, review. (JB) ANOVA, linear models, Gauss-Markov (TD). Midterm on Mar 13.

Spring break: March 15 - 23. 15-16 17-18 19-20 21-22 23-24 25-26 3/25 4/1 4/8 4/15 4/22 4/29 3/27 4/3 4/10 4/17 4/24 Decision analysis, hypothesis tests, N-P, LRT, score, Wald. (TD) Decision analysis, admissibility, complete class theorem. (TD) Hierarchical models, shrinkage, Steins theorem. (JB) Hierarchical models (continued), computational strategies. (JB) Non-parametric methods. (TD/JB) Bootstrap, jackknife, cross-validation (JB).

Reading period: May 1 - May 8. Final exams: May 9 - 17 (the final is expected to be on May 16).