Time Series and Stochastic Processes ada 20 21 — различия между версиями
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Bdemeshev (обсуждение | вклад) (→Week 02) |
Bdemeshev (обсуждение | вклад) |
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− | * Sigma-algebras, measurability of random variable with respect to sigma-algebra | + | * Sigma-algebras, measurability of random variable with respect to sigma-algebra. |
* HA-01 | * HA-01 | ||
Версия 20:51, 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. There you may find useful: lecture notes, past tripos and more.
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