Advanced Course Announcement
The University of Chicago
Department of Statistics
Course Announcement
Winter Quarter 2000
Statistics 485
Advanced Topics in Probability
TuTh (once a week, mostly Thu)
Eckhart 117
3:00-4:20 pm
Per A. Mykland
Statistics 485 is a 50 unit course that will meet once a week.
The topics:
- Limit theory for time dependent stochastic processes.
- Special emphasis on situations where discontinuous or
partially observed continuous processes converge to a
continuous one, such as small sample asymptotics.
Plan of action:
- (1) Quick coverage of ordinary martingale limit theory
- (2) Chapter VI in Jacod and Shiryaev (1987)
- (3) Application to selected problems, including student
projects
All the students need to have a project that ties in with the
course. If you are already working on a problem that involves limit
theory, this is your project. Students who do not wish to do a
project can elect to take a final instead. Auditors are not allowed
(unless you are no longer a student).
Prerequisites:
- A working knowledge of stochastic calculus, on the
level of Karatzas and Shreve (1991) or the first chapter of Jacod
and Shiryaev (1987).
Recommended Text:
- Jacod, Jean, and Shiryaev, A.N. (1987). Limit Theorems
for Stochastic Processes. Springer.
January 2000