Mathematics and Statistics for Economics : Statistics

Language

English

Prerequisites

Basic background in mathematics

Main themes

For the mathematics part, the themes of matrix algebra, functions, optimization, and difference/differential equations. For the statistics part: multivariate distributions and related concepts. The two parts are linked in particular by matrix algebra.

Content

Mathematics : Matrix algebra (inverse, rank, derivatives, eigenvalues, diagonalization and factorization, quadratic forms). Met-ric and topological spaces, vector spaces. Real functions on Rn (continuity, concavity, differentiability, Taylor expansion, mean value theorem, implicit function theorem). Static optimization (constrained and uncon-strained). Difference and differential equations (steady states, stability).
Statistics: Multivariate distributions: joint, marginal and conditional distributions, (conditional) moments (variance-covariance matrices), independence in probability and linear independence. Law of iterated expectations. Transformation of random vectors. Multivariate normal distribution. Quadratic forms in normal vectors and related distributions (Student, chi-squared, Fisher)

Teaching methods

Methods: Lectures and home works

Evaluation methods

Written exam

Faculty or entity

ECON