Courses offered
Sept-Dec 2023
ST552 Probability and Mathematical Statistics I
Lecturer : Dr Giulia Livieri, Professor Kostas Kardaras, Professor Angelos Dassios
Time, dates and location: 20 hours of lectures and 10 hours of seminars (click here for times and dates)
Link: https://www.lse.ac.uk/resources/calendar2023-2024/courseGuides/ST/2023_ST552.htm
Course summary :
This course provides theoretical and axiomatic foundations of probability and mathematical statistics. In particular, the following topics will be covered:
1. Measure spaces; Caratheodory extension theorem; Borel-Cantelli lemmas.
2. Random variables; monotone-class theorem; different kinds of convergence.
3. Kolmogorov’s 0-1 law; construction of Lebesgue integral.
4. Monotone convergence theorem; Fatou's lemmas; dominated convergence theorem.
5. Expectation; L^p spaces; uniform integrability.
6. Characteristic functions; Levy inversion formula; Levy convergence theorem; CLT.
7. Principle and basis for statistical inference: populations and samples, decision theory, basic measures for estimators.
8. Estimation: U and V statistics, unbiased estimators, MVUE, MLE.
9. Hypothesis testing: Neyman-Pearson lemma, UMP, confidence sets.
10. Product measures; conditional expectation.
Imperial College MSc in Mathematics and Finance
There are a limited number of places available to students of the LGS on modules of the Imperial College MSc in Mathematics and Finance. Below is a list of all autumn courses and the following rules apply:
Core Modules:
Elective Modules: