FSF3961 Statistical Inference 15.0 credits

The purpose of this course is to cover important topics in the theory of statistics in a thorough and general fashion. The course spans over classical inferential techniques including tests of hypothesis, point estimates, and confidence intervals as well as the Bayesian paradigm where one treats all unknown quantities as random variables and constructs a joint probability distribution for all of them. Fundamental concepts are presented from the classical and Bayesian viewpoints in parallel, for better comparison and understanding. Students will practice by studying applications and solving problems related to the theory.

After completing the course students are expected to

• explain the classical and Bayesian paradigms and contrast the two

• have a good understanding of sufficient statistics and related concepts 

• outline the foundations of statistical decision theory, both classical and Bayesian

• explain the notion of point estimation, the Cramér-Rao lower bound and the Rao-Blackwell theorem

• explain the main results and applications of hypothesis testing

• have thorough knowledge of computational methods in statistics, such as the EM-algorithm, the Bootstrap, and Markov Chain Monte Carlo

• be able to solve problems and discuss research related questions, related to the theory

A minimal requirement is a basic course in statistics such as SF1901 and an advanced level course in probability (SF2940), but a graduate course in probability (SF3940) and teaching experience in statistics is recommended.

Recommended literature:

• Statistical Inference 2nd Ed., G. Casella and R. Berger, Duxbury, 2002.
• Theory of Statistics, M. Schervish, Springer, 1995.
• Information Theory, Inference, and Learning Algorithms, D. Mackay, Cambridge University Press, 2003.

• TENM - Oral exam, 7.5 credits, grading scale: P, F
• HEM1 - Home assignments, 7.5 credits, grading scale: P, F

Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.

The examiner may apply another examination format when re-examining individual students.

If the course is discontinued, students may request to be examined during the following two academic years.

The examination will be done as a combination of homework and oral exam.

Homework and oral exam.

Henrik Hult

• All members of a group are responsible for the group's work.
• In any assessment, every student shall honestly disclose any help received and sources used.
• In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.