Time Series and Stochastic Processes ada 21 22 — различия между версиями
Материал из Wiki - Факультет компьютерных наук
Bdemeshev (обсуждение | вклад) (→UCM) |
Bdemeshev (обсуждение | вклад) (→Time Series) |
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* [https://faculty.chicagobooth.edu/ruey-s-tsay/teaching Ruey Tsay web page] | * [https://faculty.chicagobooth.edu/ruey-s-tsay/teaching Ruey Tsay web page] | ||
| − | * [http://www.math.leidenuniv.nl/~avdvaart/timeseries/index.html | + | * Van der Vaart, [http://www.math.leidenuniv.nl/~avdvaart/timeseries/index.html Time Series] |
* [https://github.com/bdemeshev/ts_pset Черновик задачника (рус)] | * [https://github.com/bdemeshev/ts_pset Черновик задачника (рус)] | ||
Версия 20:00, 27 октября 2021
Содержание
General course info
- Boring official web page
- teams group: all class videos are there :)
Teachers and assistants
Lecturer: Peter Lukianchenko
Class teacher: Boris Demeshev
Week progress
Week 01
Lecture:
Class: First step analysis, expected time to get HTH.
Week 02
Lecture:
Class: Markov chain states classification
Week 03
Lecture:
Class: Poisson process.
Week 04
Lecture:
Class: Conditional expected value. Conditional variance.
Week 05
Lecture:
Class: Sigma-algebras, measurability. Conditional expected value with respect to sigma-algebra.
Week 06
Lecture:
Class: Probability limit, Moment generating function
Midterm
The long-awaited midterm will be on 28 October, 10:00 - 12:00.
Duration: 120 minutes. No proctoring.
Topics:
- First step analysis
- Classification of states and classes of MC.
- Conditional expected value (two views).
- Poisson process.
- Sigma algebras.
- Probability limit
- Moment generating function
Sources
MC + MCMC
- James Norris, Markov chains (1998, no kernels)
- Cambridge course on Markov chains
Stochastic Calculus
- Zastawniak, Basic Stochastic Processes
Time Series
- Van der Vaart, Time Series
UCM
- Harvey Jaeger, Detrending, Stylized Facts and the Business Cycle
- João Tovar Jalles, Structural Time Series Models and the Kalman Filter
