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

Материал из Wiki - Факультет компьютерных наук
Перейти к: навигация, поиск
Строка 5: Строка 5:
 
* [https://t.me/joinchat/DtwHDEbRczyglTC1Z-W-Ug tg-channel]
 
* [https://t.me/joinchat/DtwHDEbRczyglTC1Z-W-Ug tg-channel]
  
* [ Home Assignments]
+
* [https://github.com/bdemeshev/tssp/raw/master/ha/tssp_ha.pdf All home Assignments]
  
 
== Week progress ==
 
== Week progress ==

Версия 21:56, 15 сентября 2020

General course info

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.

Sources

Stochastic Calculus

  • Zastawniak, Basic Stochastic Processes

Time Series

UCM

MC + MCMC

  • James Norris, Markov chains (1998, no kernels)