IE 523 Probabilistic Analysis
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Axiomatic construction of probability theory, properties of probability, conditional probability, independence. Discrete and continuous random variables and vectors (distribution function, expectation, variance, moments). Chebyshev inequality and law of large numbers. Conditional expectation. Transformations of random variables. Generating and characteristics functions. Asymptotic methods in probability theory, types of convergence of random variables. Sums of independent random variables, central limit theorem, Poisson theorem. Selected topics.
Credit units: 3 ECTS Credit units: 5.
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