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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=== MC + MCMC === | === MC + MCMC === | ||
* James Norris, Markov chains (1998, no kernels) | * James Norris, Markov chains (1998, no kernels) | ||
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+ | * [http://www.statslab.cam.ac.uk/~rrw1/markov/ Cambridge course] on Markov chains | ||
* [https://eml.berkeley.edu/reprints/misc/understanding.pdf Chib and Greenberg, Understanding MH algorithm] | * [https://eml.berkeley.edu/reprints/misc/understanding.pdf Chib and Greenberg, Understanding MH algorithm] |
Версия 20:41, 15 сентября 2020
Содержание
General course info
- Boring official web page
Week progress
Week 01
- Sigma-algebras, measurability of random variable with respect to sigma-algebra
- HA-01
Week 02
- Markov chain. Classification of states. Calculations of return probability, mean return time, stationary distribution.
- Cambridge Markov chain course
Week 03
- Conditional expected value. Martingales.
Sources
Stochastic Calculus
- Zastawniak, Basic Stochastic Processes
Time Series
UCM
MC + MCMC
- James Norris, Markov chains (1998, no kernels)
- Cambridge course on Markov chains