Tssp-2022-23 — различия между версиями
Bdemeshev (обсуждение | вклад) |
Bdemeshev (обсуждение | вклад) (→Semester II) |
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Строка 112: | Строка 112: | ||
Lecture. Intro to Time Series, stationarity, ACF, PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l1_DSBA3_2022.pdf pdf] | Lecture. Intro to Time Series, stationarity, ACF, PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l1_DSBA3_2022.pdf pdf] | ||
− | Class: White noise, stationarity | + | Class: White noise, stationarity [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w01a-white-noise-stationarity.pdf online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w01b-white-noise-stationarity.pdf online-B] |
'''Week 2. 2023-01-21''' | '''Week 2. 2023-01-21''' | ||
Строка 118: | Строка 118: | ||
Lecture. | Lecture. | ||
− | Class: ACF, PACF | + | 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] |
Строка 125: | Строка 125: | ||
ARMA process, more ACF/PACF | ARMA process, more ACF/PACF | ||
+ | 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. plan ''' | '''Week 4. plan ''' |
Версия 09:04, 2 февраля 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.
Class: ACF, PACF online-A, online-B
Week 3. plan
ARMA process, more ACF/PACF
Class: recurrence equations and AR(1), Yule-Wolker equations for PACF online-a, online-B
Week 4. plan
Forecasting with ARMA
Week 5. plan
ADF, KPSS, Hyndman-Khandakar procedure, AIC
Week 6. plan
ETS-model
Week 7. plan
Detrending, STL
Week 8. plan
GARCH
Week 9. plan
Volatility
Week 10. plan
Point, interval estimation
Week 11. plan
Total recall, 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 семинаров 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