Time Series and Stochastic Processes ada 21 22 — различия между версиями
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Bdemeshev (обсуждение | вклад) (Новая страница: «== General course info == * Boring [https://www.hse.ru/edu/courses/395889616 official] web page * [https://t.me/joinchat/YUGJM3oSEnkzYjli tg-channel] * [https:…») |
Bdemeshev (обсуждение | вклад) (→Week progress) |
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− | Class: | + | Class: Poisson process. |
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− | Class: | + | Class: Conditional expected value. Conditional variance. |
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− | Class: | + | Class: Sigma-algebras, measurability. Conditional expected value with respect to sigma-algebra. |
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Версия 19:52, 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:
Week 05
Lecture:
Class: Conditional expected value. Conditional variance.
Week 06
Lecture:
Class: Sigma-algebras, measurability. Conditional expected value with respect to sigma-algebra.
Week 07
Lecture:
Class: 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
UCM