Tssp-2022-23 — различия между версиями
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| Строка 47: | Строка 47: | ||
Lecture. Conditional expectation, [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l4_DSBA3_2022.pdf pdf] | Lecture. Conditional expectation, [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l4_DSBA3_2022.pdf pdf] | ||
| − | Class. Conditional expectation, sigma algebra, [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-09-26-class_4a-sigma-algebra.pdf 4a] | + | Class. Conditional expectation, sigma algebra, [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-09-26-class_4a-sigma-algebra.pdf 4a], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-09-29-class_4b-sigma-algebra.pdf 4b] |
'''Week 5. 2022-10-01''' | '''Week 5. 2022-10-01''' | ||
| Строка 53: | Строка 53: | ||
Lecture. First-step analysis, sigma algebra [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l5_DSBA3_2022.pdf pdf] | Lecture. First-step analysis, sigma algebra [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l5_DSBA3_2022.pdf pdf] | ||
| − | Class. Conditional expectation and variance, sigma algebra | + | Class. Conditional expectation and variance, sigma algebra, [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-10-03-class_5a-conditional-e-var.pdf 5a], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-10-06-class_5b-conditional-e-var.pdf 5b] |
'''Week 6. 2022-10-08''' | '''Week 6. 2022-10-08''' | ||
| Строка 59: | Строка 59: | ||
Lecture. Basics of stochastic processes [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l6_DSBA3_2022.pdf pdf] | Lecture. Basics of stochastic processes [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l6_DSBA3_2022.pdf pdf] | ||
| − | Class: Martingales, filtration | + | Class: Martingales, filtration, [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-10-10-class_6a-martingales.pdf 6a], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-10-13-class_6b-martingales.pdf 6b] |
'''Week 7. 2022-10-15''' | '''Week 7. 2022-10-15''' | ||
| Строка 65: | Строка 65: | ||
Lecture. Brownian motion (Wiener process), filtration in continuous time [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l7_DSBA3_2022.pdf pdf] | Lecture. Brownian motion (Wiener process), filtration in continuous time [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l7_DSBA3_2022.pdf pdf] | ||
| − | Class: Poisson process | + | Class: Poisson process, [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-10-20-class_7a-poisson-process.pdf 7a], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-10-20-class_7b-poisson-process.pdf 7b] |
'''Week 8. 2022-10-22''' | '''Week 8. 2022-10-22''' | ||
| − | Lecture. Wiener process (additional exercises) [https://zoom.us/rec/share/19THFlfbJsToxi_xiEt3sdXcCtkgbcfBneKULjwjLDUGfBnJDgHSR4Z3EHDKCWA_.t93R85fWqce0aImX] | + | Lecture. Wiener process (additional exercises) [https://zoom.us/rec/share/19THFlfbJsToxi_xiEt3sdXcCtkgbcfBneKULjwjLDUGfBnJDgHSR4Z3EHDKCWA_.t93R85fWqce0aImX video], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/tssp-2022-10-22-class_8-wiener-process.pdf pdf] |
== Sources == | == Sources == | ||
Версия 20:46, 24 октября 2022
Содержание
General course info
- Boring official web page
Grading
Fall grade = 0.3 HAs + 0.7 October Exam
Final grade = 0.2 Fall grade + 0.25 HAs + 0.15 December Midterm + 0.25 Spring Midterm + 0.15 Final Exam
Teachers and assistants
Lecturer: Peter Lukianchenko
Class teacher: Boris Demeshev, Sveta Popova, Maria Kirillova
Home assignments
Log-book
Week 1. 2022-09-03
Lecture. Markov chains, transition matrix, pdf
Class. Transition matrix, first step analysis.
More:
Cambridge course on Markov chains
Week 2. 2022-09-10
Lecture. Markov chains, stationary distribution, modes of convergence, pdf
Class. Stationary distribution, modes of convergence
Week 3. 2022-09-17
Lecture. Markov process, math modelling, pdf
Class. plim, almost sure lim
Week 4. 2022-09-24
Lecture. Conditional expectation, pdf
Class. Conditional expectation, sigma algebra, 4a, 4b
Week 5. 2022-10-01
Lecture. First-step analysis, sigma algebra pdf
Class. Conditional expectation and variance, sigma algebra, 5a, 5b
Week 6. 2022-10-08
Lecture. Basics of stochastic processes pdf
Class: Martingales, filtration, 6a, 6b
Week 7. 2022-10-15
Lecture. Brownian motion (Wiener process), filtration in continuous time pdf
Class: Poisson process, 7a, 7b
Week 8. 2022-10-22
Lecture. Wiener process (additional exercises) video, pdf
Sources
- all past exams
- Wiki 2020-21, Wiki 2021-22
- Git repo 2020-21, Git repo 2021-22
- TG chat 2022-23
- видео семинаров 2022-23 на русском
MC + MCMC
- James Norris, Markov chains (1998, no kernels)
- Cambridge course on Markov chains
- Chib and Greenberg, Understanding MH algorithm
- Casella, Explaining Gibbs Sampler
- Roberts and Rosenthal, General State Space Markov Chains
- Charles Geyer, MCMC lecture notes (with a little bit of kernels!)
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
