Statistics (Econometric Exercises)
Cambridge University Press, 10/31/2018
EAN 9780521537452, ISBN10: 0521537452
Paperback, 792 pages, 24.6 x 18.9 x 4.5 cm
Language: English
Building on the success of Abadir and Magnus' Matrix Algebra in the Econometric Exercises Series, Statistics serves as a bridge between elementary and specialized statistics. Professors Abadir, Heijmans, and Magnus freely use matrix algebra to cover intermediate to advanced material. Each chapter contains a general introduction, followed by a series of connected exercises which build up knowledge systematically. The characteristic feature of the book (and indeed the series) is that all exercises are fully solved. The authors present many new proofs of established results, along with new results, often involving shortcuts that resort to statistical conditioning arguments.
Part I. Probability and Distribution Theory
1. Probability
2. Random variables, probability distributions and densities
3. Expectations and their generating functions
4. Special univariate distributions
5. Joint distributions and densities
6. Conditioning, dependence, and joint moments
7. Functions of random variables
8. The multivariate normal and functions thereof
Part II. Estimation and Inference
9. Sample statistics and their distributions
10. Asymptotic theory
11. Principles of point estimation
12. Likelihood, information, and maximum likelihood estimation
13. Other methods of estimation
14. Tests of hypotheses
Appendix A
Appendix B
Bibliography
Index.