Tssp-2022-23 — различия между версиями
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(не показано 6 промежуточных версии 2 участников) | |||
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== General course info == | == General course info == | ||
− | * Boring [https://www.hse.ru/edu/courses/ | + | * Boring [https://www.hse.ru/edu/courses/749646288 official] web page |
==== Grading ==== | ==== Grading ==== | ||
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Class: ACF, PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w02a-acf-pacf.pdf online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w02a-acf-pacf.pdf online-B] | Class: ACF, PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w02a-acf-pacf.pdf online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w02a-acf-pacf.pdf online-B] | ||
− | |||
'''Week 3. 2023-01-28 ''' | '''Week 3. 2023-01-28 ''' | ||
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Lecture. ARMA process, more ACF/PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l2%263_DSBA3_2022.pdf pdf] | Lecture. ARMA process, more ACF/PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l2%263_DSBA3_2022.pdf pdf] | ||
− | Class: recurrence equations and AR(1), Yule-Wolker equations for PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w03a-ar1-more-pacf.pdf online- | + | Class: recurrence equations and AR(1), Yule-Wolker equations for PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w03a-ar1-more-pacf.pdf online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w03a-ar1-more-pacf.pdf online-B] |
'''Week 4. 2023-02-04 ''' | '''Week 4. 2023-02-04 ''' | ||
Строка 131: | Строка 130: | ||
Lecture. Forecasting with ARMA, ADF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l4_DSBA3_2022.pdf pdf] | Lecture. Forecasting with ARMA, ADF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l4_DSBA3_2022.pdf pdf] | ||
− | Class. Forecasting with AR, MA(infty) solutions | + | Class. Forecasting with AR, MA(infty) solutions [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w04a-ma-infinity-solution.pdf online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w04b-ma-infinity-solution.pdf online-B] |
+ | |||
+ | '''Week 5. 2023-02-11 ''' | ||
+ | |||
+ | Lecture. Non-Stationary Time Series, Holt-Winter's exponential smoothing [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l5_done.pdf pdf] | ||
+ | |||
+ | Class. ACF, PACF for ARMA(1,1), AR(2) [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w05a-arma11-pacf-interpretation online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w05b-arma11-pacf-interpretation.pdf online-B] | ||
− | '''Week | + | '''Week 6. 2023-02-18 ''' |
− | + | Lecture. ETS-model [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_lecture-2023-02-18_ets-problems.pdf pdf] | |
− | + | Class. ETS(AAA) [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w06a-ets-aaa.pdf, online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w06b-ets-aaa.pdf online-B] | |
− | + | '''Week 7. 2023-02-25 ''' | |
− | + | Lecture. GARCH [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l7.pdf pdf] | |
− | + | '''Week 8. 2023-03-04''' | |
− | + | Lecture. UOL - point, interval estimators [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l8.pdf pdf] | |
− | + | '''Week 9. 2023-03-11 ''' | |
− | + | Lecture. UOL - Fisher info [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l9.pdf pdf] | |
− | + | Class. Fisher info | |
− | '''Week 10. | + | '''Week 10. 2023-03-18 ''' |
− | + | Lecture. UOL | |
− | '''Week 11. | + | '''Week 11. 2023-03-25 ''' |
− | + | Midterm | |
== Sources == | == Sources == | ||
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* [https://github.com/bdemeshev/tssp/tree/master/2020_2021 Git repo 2020-21], [https://github.com/bdemeshev/tssp_2021-22/ Git repo 2021-22] | * [https://github.com/bdemeshev/tssp/tree/master/2020_2021 Git repo 2020-21], [https://github.com/bdemeshev/tssp_2021-22/ Git repo 2021-22] | ||
* [https://t.me/TSSP22 TG chat 2022-23] | * [https://t.me/TSSP22 TG chat 2022-23] | ||
− | * [https://www.youtube.com/playlist?list=PLGpdGKp2JUvygvPGgYZLNoC82Ug8Fd81L видео семинаров 2022-23 на русском] | + | * [https://www.youtube.com/playlist?list=PLGpdGKp2JUvygvPGgYZLNoC82Ug8Fd81L видео очных семинаров 2022-23], [https://disk.yandex.ru/d/ceN8JNGEE1GE5Q видео Zoom семинаров 2022-23] |
+ | * [https://disk.yandex.com.ge/d/o_QCTfVi_hLQSA видео консультаций 2022-23 на русском] | ||
* [https://github.com/mavam/stat-cookbook/releases/download/0.2.6/stat-cookbook.pdf Statistics cookbook] | * [https://github.com/mavam/stat-cookbook/releases/download/0.2.6/stat-cookbook.pdf Statistics cookbook] |
Текущая версия на 11:31, 24 марта 2023
Содержание
General course info
- Boring official web page
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
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 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 🡣
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
- all past exams
- handwritten class notes
- Wiki 2020-21, Wiki 2021-22
- Git repo 2020-21, Git repo 2021-22
- TG chat 2022-23
- видео очных семинаров 2022-23, видео Zoom семинаров 2022-23
- видео консультаций 2022-23 на русском
MC + MCMC
- James Norris, Markov chains (1998, no kernels)
- Cambridge course on Markov chains
- Chib and Greenberg, Understanding MH algorithm
- Casella, Explaining Gibbs Sampler
- Roberts and Rosenthal, General State Space Markov Chains
- Charles Geyer, MCMC lecture notes (with a little bit of kernels!)
Stochastic Calculus
- Zastawniak, Basic Stochastic Processes
Time Series
- Van der Vaart, Time Series
UCM
- Harvey Jaeger, Detrending, Stylized Facts and the Business Cycle
- João Tovar Jalles, Structural Time Series Models and the Kalman Filter