Time Series and Stochastic Processes ada 21 22
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Версия от 19:53, 27 октября 2021; Bdemeshev (обсуждение | вклад)
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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
Midterm
The long-awaited midterm will be on 28 October, 10:00 - 12:00.
Duration: 120 minutes. No proctoring.
Sources
MC + MCMC
- James Norris, Markov chains (1998, no kernels)
- Cambridge course on Markov chains
Stochastic Calculus
- Zastawniak, Basic Stochastic Processes
Time Series
UCM