Statistics 618 (Fall 2008)

Asymptotics

Instructor:	David Pollard
When:	Tues, Thurs 1:00-2:15
Where:	24 Hillhouse, Room 107
Office hours:	tba
TA:	none

Also, see courses taught by DP in previous years.

A careful study of some standard asymptotic techniques in statistics and econometrics, and their modern refinements. Topics selected from classical likelihood theory and M-estimation; empirical process methods; concentration inequalities; semiparametric models; local asymptotic normality; concepts of efficiency. Prerequisites: knowledge of probability at the level of STAT 600b.

Intended audience

Text

Topics

• Maximal inequalities via chaining. Conditional symmetry.
• Concentration of measure
  • Pascal Massart, St. Flour lectures on Concentration Inequalities and Model Selection
  • Gabor Lugosi, lecture notes on Concentration of measure
  • Michel Ledoux On Talagrand deviation inequalities for product measures. ESAIM: Probability and Statistics 1, 63-87 (1996? 7?). Available from http://www.esaim-ps.org/.
  • Michel Ledoux (2001) The concentration of measure phenomenon. Mathematical Surveys and Monographs 89, American Mathematical Society.

Grades

DBP 9 Oct 2008