## Marcel Dettling: Catalogue data in Autumn Semester 2020 |

Name | Dr. Marcel Dettling |

Address | ZHAW - IDP 8401 Winterthur SWITZERLAND |

Telephone | 058 934 70 23 |

marcel.dettling@math.ethz.ch | |

Department | Mathematics |

Relationship | Lecturer |

Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|

401-0649-00L | Applied Statistical Regression | 5 credits | 2V + 1U | M. Dettling | |

Abstract | This course offers a practically oriented introduction into regression modeling methods. The basic concepts and some mathematical background are included, with the emphasis lying in learning "good practice" that can be applied in every student's own projects and daily work life. A special focus will be laid in the use of the statistical software package R for regression analysis. | ||||

Learning objective | The students acquire advanced practical skills in linear regression analysis and are also familiar with its extensions to generalized linear modeling. | ||||

Content | The course starts with the basics of linear modeling, and then proceeds to parameter estimation, tests, confidence intervals, residual analysis, model choice, and prediction. More rarely touched but practically relevant topics that will be covered include variable transformations, multicollinearity problems and model interpretation, as well as general modeling strategies. The last third of the course is dedicated to an introduction to generalized linear models: this includes the generalized additive model, logistic regression for binary response variables, binomial regression for grouped data and poisson regression for count data. | ||||

Lecture notes | A script will be available. | ||||

Literature | Faraway (2005): Linear Models with R Faraway (2006): Extending the Linear Model with R Draper & Smith (1998): Applied Regression Analysis Fox (2008): Applied Regression Analysis and GLMs Montgomery et al. (2006): Introduction to Linear Regression Analysis | ||||

Prerequisites / Notice | The exercises, but also the classes will be based on procedures from the freely available, open-source statistical software package R, for which an introduction will be held. In the Mathematics Bachelor and Master programmes, the two course units 401-0649-00L "Applied Statistical Regression" and 401-3622-00L "Statistical Modelling" are mutually exclusive. Registration for the examination of one of these two course units is only allowed if you have not registered for the examination of the other course unit. | ||||

447-6191-00L | Statistical Analysis of Financial Data Special Students "University of Zurich (UZH)" in the Master Program in Biostatistics at UZH cannot register for this course unit electronically. Forward the lecturer's written permission to attend to the Registrar's Office. Alternatively, the lecturer may also send an email directly to registrar@ethz.ch. The Registrar's Office will then register you for the course. | 2 credits | 1G | M. Dettling, A. F. Ruckstuhl | |

Abstract | Distributions for financial data. Volatility models: ARCH- and GARCH models. Value at risk and expected shortfall. Portfolio theory: minimum-variance portfolio, efficient frontier, Sharpe’s ratio. Factor models: capital asset pricing model, macroeconomic factor models, fundamental factor model. Copulas: Basic theory, Gaussian and t-copulas, archimedean copulas, calibration of copulas. | ||||

Learning objective | Getting to know the typical properties of financial data and appropriate statistical models, incl. the corresponding functions in R. |