lunduniversity.lu.se

Department of Statistics

Lund University School of Economics and Management

STAM11 Probability Theory

15 hp

Syllabus

This course gives a solid background in and understanding of the basic results and methods in probability theory at an advanced level. It deals with random variables in one and several dimensions, conditional distributions, moment generating functions and characteristic functions, multivariate normal distributions, quadratic forms, order statistics, convergence criteria for random variables, the Borel-Cantelli lemmas, convergence via transforms, the central limit theorem and strong law of large numbers. Also studied are Poisson processes; conditioning on the number of occurrences or on occurrence times, thinning of Poisson process and the compound Poisson process.

Course Literature

Gut A., An Intermediate Course in Probability

Krzysztof Nowicki
Professor, head of department

krzysztof.nowicki@stat.lu.se
Phone: +46 46 222 89 18
Room: EC1: 344

Krzysztof Nowicki