Statistics

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 (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 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.

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; Bibliography; Index.