Time Series and Stochastic Processes ada 20 21 — различия между версиями

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* Cambridge [http://www.statslab.cam.ac.uk/~rrw1/markov/ Markov chain course]
 
* Cambridge [http://www.statslab.cam.ac.uk/~rrw1/markov/ Markov chain course]
 
  
 
==== Week 03 ====
 
==== Week 03 ====
  
* Conditional expected value. Martingales.  
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* Conditional expected value. Martingales.
 
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== Sources ==
 
== Sources ==

Версия 20:40, 15 сентября 2020

General course info

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.

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)