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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+ | == General course info == | ||
+ | * Boring [https://www.hse.ru/edu/courses/383218629 Official] web page | ||
* [https://t.me/joinchat/DtwHDEbRczyglTC1Z-W-Ug tg-channel] | * [https://t.me/joinchat/DtwHDEbRczyglTC1Z-W-Ug tg-channel] | ||
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+ | == 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 [http://www.statslab.cam.ac.uk/~rrw1/markov/ Markov chain course] | ||
+ | |||
+ | |||
+ | ==== Week 03 ==== | ||
+ | |||
+ | * Conditional expected value. Martingales. | ||
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Версия 20:40, 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)