Michele LA ROCCA | Statistical Analysis of Complex Systems
Michele LA ROCCA Statistical Analysis of Complex Systems
cod. 0222400002
STATISTICAL ANALYSIS OF COMPLEX SYSTEMS
| 0222400002 | |
| DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE | |
| STATISTICAL SCIENCES FOR FINANCE | |
| 2015/2016 |
| OBBLIGATORIO | |
| YEAR OF COURSE 2 | |
| YEAR OF DIDACTIC SYSTEM 2014 | |
| SECONDO SEMESTRE |
| SSD | CFU | HOURS | ACTIVITY | |
|---|---|---|---|---|
| SECS-S/01 | 5 | 30 | LESSONS |
| Objectives | |
|---|---|
| THE COURSE FOCUSES ON REGRESSION TOOLS FOR FINANCIAL AND INSURANCE DATA ANALYSIS. PARTICULAR EMPHASIS WILL BE GIVEN TO REGRESSION MODELS AND INFERENCE TOOLS (BOTH PARAMETRIC AND NONPARAMETRIC) FOR THE ANALYSIS CONTINUOUS, DISCRETE AND MIXED TYPE DATA. |
| Prerequisites | |
|---|---|
| IT IS REQUIRED A BASIC KNOWLEDGE OF MATRIX ALGEBRA AND STATISTICAL INFERENCE. |
| Contents | |
|---|---|
| EDA TOOLS. SCATTER AND BUBBLE PLOTS. COLOURING AND FACETING FOR MULTIVARIATE DATA MATRICES. CORRELATION MATRIX AND GRAPHICAL REPRESENTATION. NONPARAMETRIC REGRESSION. EDA WITH R. STATISTICAL REPORTING TECHNIQUES. REGRESSION MODELLING. ESTIMATE, INFERENCE, VALIDATION AND USE OF THE REGRESSION MODEL. HETORSCHEDASTICITY AND AUTOCORRELATION. VARIABLE SELECTION. OUTLIERS AND ROBUSTNESS. MISSING VALUES PROBLEMS. NONLINEAR REGRESSION. CASE STUDIES WITH R. LOGIT AND PROBIT MODELS. POISSON REGRESSION. ZERO INFLATED MODELS. FREQUENCY-SEVERITY MODELS. AGGREGATE LOSS MODELS. CASE STUDIES WITH R. |
| Teaching Methods | |
|---|---|
| THE COURSE CONSISTS OF 30 HOURS INCLUDING LECTURES AND CASE STUDIES. |
| Verification of learning | |
|---|---|
| THE EXAMINATION IS WRITTEN AND ORAL AND COVERS THE MATERIAL OF THE COURSE. THE EVALUATION OF THE EXAMINATION RESULTS WILL TAKE INTO ACCOUNT THE ARGUMENTATION CAPACITY, THE ACCURACY OF LANGUAGE AND THE ABILITY TO MAKE CRITICAL USE OF THE ACQUIRED STATISTICAL TOOLS, AS WELL AS KNOWLEDGE OF THE SUBJECT MATTER. |
| Texts | |
|---|---|
| 1. M. VEERBEK, ECONOMETRIA, ZANICHELLI 2. LECTURE NOTES AND JOURNAL PAPERS SUGGESTED BY THE INSTRUCTOR AVAILABLE ON INSTRUCTOR’S WEB PAGE |
| More Information | |
|---|---|
| LECTURE WILL BE GIVEN IN ITALIAN. ERASMUS STUDENTS CAN BE ALLOWED TO USE ENGLISH TEXTBOOKS. GIVEN THE CHARACTERISTICS OF THE DISCIPLINE, AND ITS THEORETICAL AND PRACTICAL APPROACH, THE ATTENDANCE IS STRONGLY RECOMMENDED, ALTHOUGH NOT MANDATORY. STUDENTS WHO DECIDE NOT TO ATTEND CLASSES ARE ADVISED TO FOLLOW THE SYLLABUS AND THE SCHEDULED TOPICS. |
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