Time Series and Stochastic Processes ada 20 21 — различия между версиями
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Bdemeshev (обсуждение | вклад) (Новая страница: « * [tg-channel https://t.me/joinchat/DtwHDEbRczyglTC1Z-W-Ug] == Sources == === Stochastic Calculus === * [https://github.com/bdemeshev/sc401/raw/master/matek…») |
Bdemeshev (обсуждение | вклад) |
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(не показано 11 промежуточных версии этого же участника) | |||
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+ | == General course info == | ||
+ | * Boring [https://www.hse.ru/edu/courses/383218629 official] web page | ||
− | * [ | + | * [https://t.me/joinchat/DtwHDEbRczyglTC1Z-W-Ug tg-channel] |
+ | * [https://github.com/bdemeshev/tssp/raw/master/ha/tssp_ha.pdf All home Assignments] | ||
+ | |||
+ | == Week progress == | ||
+ | |||
+ | ==== Week 01 ==== | ||
+ | |||
+ | * Sigma-algebras, measurability of random variable with respect to sigma-algebra. | ||
+ | * Seminar 01 | ||
+ | |||
+ | ==== Week 02 ==== | ||
+ | |||
+ | * Markov chain. Classification of states. Calculations of return probability, mean return time, stationary distribution. | ||
+ | * Seminar 02a, [https://youtu.be/WBKkk0iqysU?list=PL1poMUvVlAqfu6D4gaA_c4fJiIfsWbjzV 02b] | ||
+ | * Cambridge [http://www.statslab.cam.ac.uk/~rrw1/markov/ Markov chain course]. There you may find useful: [http://www.statslab.cam.ac.uk/~rrw1/markov/M.pdf lecture notes], [http://www.statslab.cam.ac.uk/~rrw1/markov/MarkovChainTriposQuestions.pdf past tripos] and more. | ||
+ | |||
+ | ==== Week 03 ==== | ||
+ | |||
+ | * Conditional expected value. Martingales. | ||
+ | |||
+ | ==== Week 04 ==== | ||
+ | |||
+ | * [https://youtu.be/mJmbcp5h7lo?list=PL1poMUvVlAqfu6D4gaA_c4fJiIfsWbjzV Abracadabra martingale] | ||
+ | |||
+ | ==== Week 05 ==== | ||
+ | |||
+ | * Wiener process: basic properties, inversion | ||
+ | |||
+ | ==== Week 06 ==== | ||
+ | |||
+ | * Wiener process: limit in L2 | ||
+ | |||
+ | ==== Week 07 ==== | ||
+ | |||
+ | [https://www.youtube.com/watch?v=yTCI-Ng76OU Ito integral WtdWt], Ito's lemma | ||
== Sources == | == Sources == | ||
=== Stochastic Calculus === | === Stochastic Calculus === | ||
+ | |||
+ | * Zastawniak, Basic Stochastic Processes | ||
* [https://github.com/bdemeshev/sc401/raw/master/matek2_collect/matek2_collection.pdf Exams of ICEF master course] | * [https://github.com/bdemeshev/sc401/raw/master/matek2_collect/matek2_collection.pdf Exams of ICEF master course] | ||
Строка 15: | Строка 53: | ||
* [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)] | ||
− | |||
=== Time Series === | === Time Series === | ||
* [https://otexts.com/fpp3/ Forecasting principles and practice (R)] | * [https://otexts.com/fpp3/ Forecasting principles and practice (R)] | ||
+ | |||
+ | * [https://www.stat.pitt.edu/stoffer/tsa4/ Shumway, Stoffer Time Series Analysis] | ||
+ | |||
+ | * [https://faculty.chicagobooth.edu/ruey-s-tsay/teaching Ruey Tsay web page] | ||
+ | |||
+ | * [http://www.math.leidenuniv.nl/~avdvaart/timeseries/index.html van der Vaart] | ||
* [https://github.com/bdemeshev/ts_pset Черновик задачника (рус)] | * [https://github.com/bdemeshev/ts_pset Черновик задачника (рус)] | ||
Строка 34: | Строка 77: | ||
* [https://robjhyndman.com/uwafiles/9-StateSpaceModels.pdf Rob Hyndman, State Space Models] | * [https://robjhyndman.com/uwafiles/9-StateSpaceModels.pdf Rob Hyndman, State Space Models] | ||
− | |||
=== MC + MCMC === | === MC + MCMC === | ||
* James Norris, Markov chains (1998, no kernels) | * James Norris, Markov chains (1998, no kernels) | ||
+ | |||
+ | * [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] | ||
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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)] | ||
− | |||
* [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 17:30, 15 октября 2020
Содержание
General course info
- Boring official web page
Week progress
Week 01
- Sigma-algebras, measurability of random variable with respect to sigma-algebra.
- Seminar 01
Week 02
- Markov chain. Classification of states. Calculations of return probability, mean return time, stationary distribution.
- Seminar 02a, 02b
- Cambridge Markov chain course. There you may find useful: lecture notes, past tripos and more.
Week 03
- Conditional expected value. Martingales.
Week 04
Week 05
- Wiener process: basic properties, inversion
Week 06
- Wiener process: limit in L2
Week 07
Ito integral WtdWt, Ito's lemma
Sources
Stochastic Calculus
- Zastawniak, Basic Stochastic Processes
Time Series
UCM
MC + MCMC
- James Norris, Markov chains (1998, no kernels)
- Cambridge course on Markov chains