Tssp-2022-23 — различия между версиями
Материал из Wiki - Факультет компьютерных наук
Bdemeshev (обсуждение | вклад) (Новая страница: «== General course info == * Boring [https://www.hse.ru/edu/courses/395889616 official] web page = Teachers and assistants = Lecturer: [https://www.hse.ru/org…») |
Maximfish (обсуждение | вклад) м |
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* [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_20_21 Wiki 2020-21], [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_21_22 Wiki 2021-22] | * [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_20_21 Wiki 2020-21], [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_21_22 Wiki 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://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://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] |
Версия 11:37, 3 сентября 2022
Содержание
General course info
- Boring official web page
Teachers and assistants
Lecturer: Peter Lukianchenko
Class teacher: Boris Demeshev, Sveta Popova, Maria Kirillova
Sources
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