Tssp-2022-23

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General course info

Grading

Fall grade = 0.3 HAs + 0.7 October Exam

Final grade = 0.2 Fall grade + 0.25 HAs + 0.15 December Midterm + 0.25 Spring Midterm + 0.15 Final Exam

Actual grades: xlsx, html

Teachers and assistants

Lecturer: Peter Lukianchenko

Class teacher: Boris Demeshev, Sveta Popova, Maria Kirillova

Home assignments

Log Book

Semester I

Нажми "развернуть", чтобы просмотреть содержимое - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 🡣

 [развернуть


Semester II

Week 1. 2023-01-14

Lecture. Intro to Time Series, stationarity, ACF, PACF pdf

Class: White noise, stationarity online-A, online-B

Week 2. 2023-01-21

Lecture. ARMA process, more ACF/PACF pdf

Class: ACF, PACF online-A, online-B

Week 3. 2023-01-28

Lecture. ARMA process, more ACF/PACF pdf

Class: recurrence equations and AR(1), Yule-Wolker equations for PACF online-A, online-B

Week 4. 2023-02-04

Lecture. Forecasting with ARMA, ADF pdf

Class. Forecasting with AR, MA(infty) solutions online-A, online-B

Week 5. 2023-02-11

Lecture. Non-Stationary Time Series, Holt-Winter's exponential smoothing pdf

Class. ACF, PACF for ARMA(1,1), AR(2) online-A, online-B

Week 6. 2023-02-18

Lecture. ETS-model pdf

Class. ETS(AAA) online-A, online-B

Week 7. 2023-02-25

Lecture. GARCH pdf

Week 8. 2023-03-04

Lecture. UOL - point, interval estimators pdf

Week 9. 2023-03-11

Lecture. UOL - Fisher info pdf

Class. Fisher info

Week 10. 2023-03-18

Lecture. UOL

Week 11. 2023-03-25

Midterm

Sources

MC + MCMC

  • James Norris, Markov chains (1998, no kernels)

Stochastic Calculus

  • Zastawniak, Basic Stochastic Processes

Time Series

UCM