Tssp-2022-23
Материал из Wiki - Факультет компьютерных наук
Версия от 19:44, 1 сентября 2022; Bdemeshev (обсуждение | вклад)
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