Time Series and Stochastic Processes ada 20 21 — различия между версиями
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Bdemeshev (обсуждение | вклад) |
Bdemeshev (обсуждение | вклад) |
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* [https://github.com/bdemeshev/sc401/raw/master/sc_pset/sc_problems_main.pdf Черновик задачника (рус)] | * [https://github.com/bdemeshev/sc401/raw/master/sc_pset/sc_problems_main.pdf Черновик задачника (рус)] | ||
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=== Time Series === | === Time Series === | ||
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* [https://robjhyndman.com/uwafiles/9-StateSpaceModels.pdf Rob Hyndman, State Space Models] | * [https://robjhyndman.com/uwafiles/9-StateSpaceModels.pdf Rob Hyndman, State Space Models] | ||
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=== MC + MCMC === | === MC + MCMC === | ||
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* [http://www.statslab.cam.ac.uk/~rrw1/markov/index.html (no kernels)] | * [http://www.statslab.cam.ac.uk/~rrw1/markov/index.html (no kernels)] | ||
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* [https://projecteuclid.org/euclid.ps/1099928648 General State Space Markov Chains by Roberts and Rosenthal (+++, статья)] | * [https://projecteuclid.org/euclid.ps/1099928648 General State Space Markov Chains by Roberts and Rosenthal (+++, статья)] | ||
Версия 08:37, 8 сентября 2020
Sources
Stochastic Calculus
- Zastawniak, Basic Stochastic Processes
Time Series
UCM
MC + MCMC
- James Norris, Markov chains (1998, no kernels)
