Valid from: Autumn 2020
Decided by: Professor Thomas Johansson
Date of establishment: 2020-08-26
Division: Mathematical Statistics
Course type: Course given jointly for second and third cycle
The course is also given at second-cycle level with course code: FMSF05
Teaching language: English
The course gives a deeper and extended knowledge of probability theory, useful for further studies in, e.g., extreme value theory and stochastic processes with applications.
Knowledge and Understanding
For a passing grade the doctoral student must
Competences and Skills
For a passing grade the doctoral student must show the ability to integrate knowledge from the different parts of the course when solving problems.
The course deepens and expands the basic knowledge in probability theory. Central moments in the course are transforms of distribution, conditional expectations, multidimensional normal distribution, and stochastic convergence. Further, the concept of stochastic processes is introduced by a fairly thorough treatment of the properties of the Poisson process.
Gut, A.: An Intermediate Course in Probability Theory. Springer, 1995.
Types of instruction: Lectures, exercises
Examination format: Written exam
Grading scale: Failed, pass
Assumed prior knowledge: Basic course in Mathematical Statistics
Web page: www.maths.lth.se/matstat/kurser/fmsf05/