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8. Plotting ACF of a given time series.

9. Using Yule-Walker equation and Least squares to fit AR (1) and AR (2) models to real life data
10. Forecasting by exponential smoothing.
11. Calculation of price and quantity index numbers.
12. Construction of Consumer and wholesale price index numbers.

2.20 Core T11 – Statistical Inference II 6 Credits

CC-11 Sem-5 Statistical Inference-II (STS-A-CC-5-11-TH)

4 Credits

Unit 1 8L

Limit laws: Sequence of random variables, convergence in probability, convergence in mean square and
convergence in distribution and their interrelations, Weak law of large numbers and their applications, De-
Moivre Laplace Limit theorem, Statement of Central Limit Theorem (C.L.T.) for i.i.d. variates, applications
of C.L.T.

Unit 2 20L

Point Estimation: Concepts of estimation, notions of mean square error, unbiasedness, best linear
unbiasedness and minimum variance unbiasedness. Necessary and sufficient condition for uniformly
minimum variance unbiased estimators (UMVUE). Properties of UMVUE. Consistent estimators and
asymptotic efficiency. Sufficiency, factorization theorem (discrete case only). Fisher’ information (for
single parameter only). Cramer-Rao inequality and minimum variance bound (MVB) estimators, Rao-
Blackwell theorem and its applications.

Methods of Estimation: Method of moments, method of maximum likelihood estimation and statements of
their properties.

Unit 3 20L

Theory of hypothesis testing: Test function, randomized and non-randomized tests, most powerful (MP) test,
uniformly most powerful (UMP) test, Neyman - Pearson Lemma (statement and proof of sufficiency part
only) and its applications to construct MP and UMP tests, uniformly most powerful unbiased (UMPU) tests
(definition only).

Likelihood ratio tests, properties of likelihood ratio tests (without proof).

Interval Estimation: Confidence intervals, Concepts of Uniformly Most Accurate (UMA) confidence sets,
relationship with tests of hypotheses.

Unit 4 12L

Large Sample Theory: Delta method, Derivation of large sample standard error of sample moments, standard
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deviation, coefficient of variation, b1 and b2 measures, and correlation coefficient and their uses in large
sample tests under normality assumption, Large sample distribution of sample quantile.

Transformations of Statistics to stabilize variance: derivation and uses of Sin-1, square root, logarithmic and
z-transformations.

Large sample tests for binomial proportions, Poisson means (single and two independent samples cases) and
correlation coefficients.

Large Sample distribution of Pearsonian χ2 –statistic and its uses.

Reference Books

► Goon A.M., Gupta M.K.: Das Gupta.B. (2005), Outline of Statistics, Vol. I & II, World Press, Calcutta.
► Rohatgi V. K. and Saleh, A.K. Md. E. (2009): An Introduction to Probability and Statistics. 2ndEdn. (Reprint) John
Wiley and Sons.
► Miller, I. and Miller, M. (2002) : John E. Freund’s Mathematical Statistics (6th addition, low price edition), Prentice
Hall of India.
► Dudewicz, E. J., and Mishra, S. N. (1988): Modern Mathematical Statistics. John Wiley & Sons.
► Mood A.M, Graybill F.A. and Boes D.C, Introduction to the Theory of Statistics, McGraw Hill.
► Bhat B.R, Srivenkatramana T and Rao Madhava K.S. (1997) Statistics: A Beginner’s Text, Vol. I, New Age International
(P) Ltd.
► Snedecor G.W and Cochran W.G. (1967) Statistical Methods. Lowa State University Press.
► Casella , G. and Berger R.L. (2002).: Statistical Inference, 2 ndEdn. Thomson Learning.
 Page23

2.21 Core P11 – Statistical Inference II Lab

CC-11 Sem-5 Statistical Inference II (STS-A-CC-5-11-P)

2 Credits

List of Practical

1. Maximum Likelihood Estimation.

2. Estimation by the method of moments, minimum Chi-square.
3. Type I and Type II errors.
4. Most powerful critical region.
5. Uniformly most powerful critical region.
6. Unbiased critical region.
7. Power curves.
8. Confidence intervals and UMA confidence sets.
9. Likelihood ratio tests for simple null hypothesis against simple alternative hypothesis.
10. Likelihood ratio tests for simple null hypothesis against composite alternative hypothesis.
11. Asymptotic properties of LR tests.
12. Large sample tests.
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2.22 Core T12–Linear Models and Regression 6 credits

CC-12 Sem-5 Linear Models and Regression (STS-A-CC-5-12-TH)

4 Credits

Unit 1 10L

Gauss-Markov set-up: Theory of linear estimation, Estimability of linear parametric

functions, Method of least squares, Gauss-Markov theorem, Estimation of error variance.
Fundamental Theorems on least squares (statements only), Orthogonal splitting of total variation,
selection of valid error.

Unit 2 16L

Regression analysis: Multiple Regression. Estimation and hypothesis testing in case of simple and
multiple regression models. Tests for parallelism and identity, linearity of simple regression.

Regression Diagnostics: Model checking: Prediction from a fitted model.

Unit 3 28L

Analysis of variance: Definitions of fixed, random and mixed effect models, analysis of variance
and covariance in one-way classified data for fixed effect models, analysis of variance and
covariance (with one concomitant variable) in two-way classified data with equal number of
observations per cell, for fixed effect models. Analysis of variance in one-way classified data for
random effect models.

Unit 4 6L

Binary and Count data regression: Logistic and Poisson Regression.

Reference Books

► Weisberg, S. (2005). Applied Linear Regression (Third edition). Wiley.

► Wu, C. F. J. And Hamada, M. (2009). Experiments, Analysis, and Parameter Design Optimization
(Second edition), John Wiley.
► Renchner, A. C. And Schaalje, G. B. (2008). Linear Models in Statistics (Second edition), John
Wiley and Sons.
► Scheffe, H. (1959): The Analysis of Variance, John Wiley.
► Goon, A.M., Gupta, M.K., Das Gupta, B. (2005). Outline of Statistics, Vol.II, World Press,
Calcutta.
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► Agresti, A. (2010): Analysis of Ordinal Categorical Data, 2nd Edition, Wiley

► Chatterjee S., Hadi A.S., Price B.: Regression Analysis by Example, 3rdEdn, John Wiley & Sons.

2.23 Core P12–Linear Models and Regression Lab

CC-12 Sem-5 Linear Models & Regression (STS-A-CC-5-12-P)

2 Credits

List of Practical

1. Simple Linear Regression.

2. Multiple Regression.
3. Tests for Linear Hypothesis.
4. Analysis of Variance of a one way classified data.
5. Analysis of Variance of a two way classified data with one observation per cell.
6. Analysis of Variance of a two way classified data with more than one observation per cell.
7. Analysis of Covariance of a one way classified data with one concomitant variable.
8. Analysis of Covariance of a two way classified data with one concomitant variable.
9. Analysis of Variance of a one way classified data for random effect model.