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Part of Econometric Exercises

  • Date Published: December 2018
  • availability: In stock
  • format: Hardback
  • isbn: 9780521822886

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About the Authors
  • Building on the success of Abadir and Magnus' Matrix Algebra in the Econometric Exercises Series, Statistics serves as a bridge between elementary and specialized statistics. Professors Abadir, Heijmans, and Magnus freely use matrix algebra to cover intermediate to advanced material. Each chapter contains a general introduction, followed by a series of connected exercises which build up knowledge systematically. The characteristic feature of the book (and indeed the series) is that all exercises are fully solved. The authors present many new proofs of established results, along with new results, often involving shortcuts that resort to statistical conditioning arguments.

    • Aims to bridge the gap between elementary and specialized statistics
    • All exercises featured in the book are fully solved
    • Uses matrix algebra freely in covering intermediate to advanced material
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    Reviews & endorsements

    'There are many outstanding statistics textbooks. This book stands alone in its extensive and in-depth treatment of fundamentals, followed by the well-designed, pedagogical exercises. The rewards of going through the book are immense for anyone serious about learning statistics. It can also serve as an excellent reference for advanced students and researchers.' Cheng Hsiao, University of Southern California

    'This book valiantly presents core statistical methodology in a self-contained volume of key ideas and solved exercises. The exposition is concise yet crystal clear with a format that successfully targets two audiences, by being accessible to statistical newcomers with some mathematics background, and by its appeal to the statistically proficient. Even people who teach statistics for a living may find themselves captivated by opening the book at a random page and reading on for pleasure. It is a treasure trove of statistical gems.' Dimitris Politis, University of California, San Diego

    'This vast, 801-page volume presents an extensive survey of mathematical statistics that will be useful to readers with various technical backgrounds. In this respect it caters for both students and researchers. The volume is oriented towards an econometric readership, but should be useful to statisticians also. It is clearly and precisely written and there are solutions provided to the many exercises.' Peter M. Robinson, London School of Economics

    'This impressive new addition to the Econometric Exercises series will be a wonderful resource for advanced undergraduate and postgraduate students. The clarity with which all concepts and techniques are presented and linked, is marvellous. The use of concise introductory material to lay the foundations of each chapter, followed by an extensive set of solved exercises, also works seamlessly. I will recommend it highly to all!' Gael Martin, Monash University, Australia

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    Product details

    • Date Published: December 2018
    • format: Hardback
    • isbn: 9780521822886
    • length: 786 pages
    • dimensions: 255 x 180 x 41 mm
    • weight: 1.69kg
    • availability: In stock
  • Table of Contents

    Part I. Probability and Distribution Theory:
    1. Probability
    2. Random variables, probability distributions and densities
    3. Expectations and their generating functions
    4. Special univariate distributions
    5. Joint distributions and densities
    6. Conditioning, dependence, and joint moments
    7. Functions of random variables
    8. The multivariate normal and functions thereof
    Part II. Estimation and Inference:
    9. Sample statistics and their distributions
    10. Asymptotic theory
    11. Principles of point estimation
    12. Likelihood, information, and maximum likelihood estimation
    13. Other methods of estimation
    14. Tests of hypotheses
    Appendix A
    Appendix B

  • Authors

    Karim M. Abadir, Imperial College London
    Karim M. Abadir is Emeritus Professor of Financial Econometrics at Imperial College London, and Distinguished Visiting Professor at the American University in Cairo. He was the Head of the Statistics Group at the University of York and Chair of Econometrics and Statistics joint between the Departments of Mathematics and Economics 1996–2005, then Chair of Financial Econometrics 2005–2017 at Imperial College London. He was a founding editor of the Econometrics Journal for 10 years.

    Risto D. H. Heijmans
    Risto D. H. Heijmans (1940–2014) was Associate Professor in Econometrics at the former Institute of Actuarial Science and Econometrics of the University of Amsterdam. He taught in probability theory, statistics, and stochastic processes to students in actuarial science, econometrics, and operations research. He was an expert on asymptotic theory.

    Jan R. Magnus, Vrije Universiteit, Amsterdam
    Jan R. Magnus worked at the London School of Economics and Political Science from 1981–1996 and then at Tilburg University as Research Professor of Econometrics. In 2013 he moved to the Vrije Universiteit Amsterdam as Extraordinary Professor of Econometrics. Magnus is (co)author of eight books, and more than one hundred scientific papers.

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