Dse 2023-24

General course info

16 lectures plus 16 classes

• Boring official web page

Fall grade = 0.2 Small HAs + 0.2 Group project + 0.3 Midterm + 0.3 Final

Each small HA consists of approximately 4 or 5 problems.

Lecturer: Boris Demeshev

Class teachers: Yana Khassan, Shuana Pirbudagova

Log Book or Tentative Plan

Week 1. 2023-09-04 Entropy

Guessing game, conditional entropy, joint entropy.

Class: data manipulation, data vizualization

More:

(rus) https://exuberant-arthropod-be8.notion.site/1-02-09-5e107ea1c4054594b8f37d955db8a2b0

Week 2. Kelly criterion

Class: group by, reshape and join

Week 3. Trees

Class: Trees (regression + classification) + tree visualization

Week 4. Random forest + Data splitting strategies

Class: Random forest, cross-validation in sklearn, feature importance,

Week 5. Gradient boosting

Class: XGBoost vs LightGBM, Dummy variables, categorical variables and Catboost

Week 6. Naive bootstrap, t-stat bootstrap, permutation tests

Class: Hypothesis testing

More:

https://arch.readthedocs.io/en/latest/bootstrap/bootstrap.html

Week 7. Matrices in regression

Class: (by hand) Differential in matrix form, derivation of formulas for beta.

Here will be ~~dragons~~ midterm!

Week 8. SVD = PCA

Class: (by hand) Covariance matrices,

Week 9. James Stein paradox

Class: Matrices in numpy, PCA in sklearn, SVD

Week 10. L1, L2 regularization

Class: Regression in sklearn, different type of regularisation

Week 11. Log regression + L1/L2

Class: Log regression (sklearn/statsmodels) + L1/L2

Week 12. Hierarchical clustering + k-means

Class: Hierarchical clustering + k-means

Week 13. ETS (Exponential Smoothing)

Class: Plotting time series, ETS (sktime)

More:

https://www.sktime.net/en/stable/examples/01_forecasting.html

Week 14. Bayesian approach

Class: TS forecasting with grad boosting

Week 15. Mention of MCMC + DLT

Class: DLT in python

More:

Mcmc visualization: https://chi-feng.github.io/mcmc-demo/app.html?algorithm=SVGD&target=banana&delay=0

https://www.uber.com/blog/orbit/

Week 16.QA

Class: QA

Here will be ~~dragons~~ final!