ECON 4130 - Statistical Decision Theory

(MQR-AS, SDS-AS)

Fall or Spring. 3 credits. Letter grades only.

J. Montiel Olea.

Statistical Decision Theory provides a normative framework to think about how to best use data to aid decision making under uncertainty. The goal of this course is to provide an undergraduate introduction to Statistical Decision Theory. At the end of the course, the students will be able to deﬁne Statistical Models, Statistical Decision Problems, Statistical Decision Rules, Risk Functions, and to describe diﬀerent optimality criteria for statistical decision making (Bayes risk minimization, the minimax principle, and the minimax regret principle). The course will present diﬀerent applications to Economics, Econometrics, and Machine Learning.