Tssp-2022-23 — различия между версиями

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== General course info ==
 
== General course info ==
  
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* Boring [https://www.hse.ru/edu/courses/395889616 official] web page
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* Boring [https://www.hse.ru/edu/courses/749646288 official] web page
  
 
==== Grading ====
 
==== Grading ====
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Final grade = 0.2 Fall grade + 0.25 HAs + 0.15 December Midterm + 0.25 Spring Midterm + 0.15 Final Exam
 
Final grade = 0.2 Fall grade + 0.25 HAs + 0.15 December Midterm + 0.25 Spring Midterm + 0.15 Final Exam
  
−
[Actual grades https://docs.google.com/spreadsheets/d/e/2PACX-1vQqRvmRVq-b2olpbl_028gjSsoVdR2cANoTyDXhaYjTCQELwjECBgj2oljHsXC8XlkGrXx2up-ebrAh/pub?output=xlsx]
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Actual grades: [https://docs.google.com/spreadsheets/d/e/2PACX-1vQqRvmRVq-b2olpbl_028gjSsoVdR2cANoTyDXhaYjTCQELwjECBgj2oljHsXC8XlkGrXx2up-ebrAh/pub?output=xlsx xlsx], [https://docs.google.com/spreadsheets/d/e/2PACX-1vQqRvmRVq-b2olpbl_028gjSsoVdR2cANoTyDXhaYjTCQELwjECBgj2oljHsXC8XlkGrXx2up-ebrAh/pubhtml html]
  
 
==== Teachers and assistants ====
 
==== Teachers and assistants ====
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Lecturer: [https://www.hse.ru/org/persons/14276760 Peter Lukianchenko]  
 
Lecturer: [https://www.hse.ru/org/persons/14276760 Peter Lukianchenko]  
  
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Class teacher: [https://www.hse.ru/staff/bbd Boris Demeshev], Sveta Popova, Maria Kirillova
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Class teacher: [https://www.hse.ru/staff/bbd Boris Demeshev], [https://www.hse.ru/org/persons/14288706 Sveta Popova], Maria Kirillova
  
 
==== [https://github.com/bdemeshev/tssp_2022-23/raw/main/ha/tssp_ha.pdf Home assignments] ====
 
==== [https://github.com/bdemeshev/tssp_2022-23/raw/main/ha/tssp_ha.pdf Home assignments] ====
  
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== Log-book ==
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==Log Book ==
 +
 
 +
==== Semester I  ====
 +
 
 +
Нажми "развернуть", чтобы просмотреть содержимое - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 🡣
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<div class="mw-collapsible mw-collapsed" style="width:1000px; overflow: hidden;">
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'''Week 1. 2022-09-03'''
 
'''Week 1. 2022-09-03'''
Строка 25: Строка 31:
 
Lecture. Markov chains, transition matrix, [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l1_DSBA3_2022.pdf pdf]
 
Lecture. Markov chains, transition matrix, [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l1_DSBA3_2022.pdf pdf]
  
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Class. Transition matrix, first step analysis.
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Class. Transition matrix, first step analysis.  
  
 
More:
 
More:
Строка 41: Строка 47:
 
Lecture. Markov process, math modelling, [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l3_DSBA3_2022.pdf pdf]
 
Lecture. Markov process, math modelling, [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l3_DSBA3_2022.pdf pdf]
  
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Class. plim, almost sure lim
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Class. plim, almost sure lim  
  
 
'''Week 4. 2022-09-24'''
 
'''Week 4. 2022-09-24'''
  
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Lecture. Conditional expectation, [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/Lect_04_TSSP%20(2).pdf pdf]
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Lecture. Conditional expectation, [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m1_l4_DSBA3_2022.pdf pdf]
  
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Class. Conditional expectation, sigma algebra
+
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 59:
 
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]
  
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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'''
 +
 
 +
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, [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'''
 +
 
 +
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, [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'''
 +
 
 +
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]
 +
 
 +
Class: Solve midterm tasks
 +
 
 +
'''Week 9. 2022-11-05'''
 +
 
 +
Lecture. Stochastic integral, Ito formula [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m2_l1_DSBA3_2022.pdf pdf]
 +
 
 +
Class: Stochastic integral, L2 convergence
 +
 
 +
'''Week 10. 2022-11-12'''
 +
 
 +
Lecture. Ito's lemma, BS model [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m2_l2_DSBA3_2022.pdf pdf]
 +
 
 +
Class: Stochastic integral (Wu dWu), L2 convergence
 +
 
 +
'''Week 11. 2022-11-19'''
 +
 
 +
Lecture. BS solution [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m2_l3_DSBA3_2022.pdf pdf]
 +
 
 +
Class: Ito's lemma
 +
 
 +
'''Week 12. 2022-11-26'''
 +
 
 +
Lecture. Binomial tree, risk-neutral probability [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m2_l4_DSBA3_2022.pdf pdf]
 +
 
 +
Class: BS model, SDE
 +
 
 +
</div>
 +
 
 +
 
 +
==== Semester II ====
 +
 
 +
'''Week 1. 2023-01-14'''
 +
 
 +
Lecture. Intro to Time Series, stationarity, ACF, PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l1_DSBA3_2022.pdf pdf]
 +
 
 +
Class: White noise, stationarity [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w01a-white-noise-stationarity.pdf online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w01b-white-noise-stationarity.pdf online-B]
 +
 
 +
'''Week 2. 2023-01-21'''
 +
 
 +
Lecture. ARMA process, more ACF/PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l2%263_DSBA3_2022.pdf pdf]
 +
 
 +
Class: ACF, PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w02a-acf-pacf.pdf online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w02a-acf-pacf.pdf online-B]
 +
 
 +
'''Week 3. 2023-01-28 '''
 +
 
 +
Lecture. ARMA process, more ACF/PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l2%263_DSBA3_2022.pdf pdf]
 +
 
 +
Class: recurrence equations and AR(1), Yule-Wolker equations for PACF [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w03a-ar1-more-pacf.pdf online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w03a-ar1-more-pacf.pdf online-B]
 +
 
 +
'''Week 4. 2023-02-04 '''
 +
 
 +
Lecture. Forecasting with ARMA, ADF [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l4_DSBA3_2022.pdf pdf]
 +
 
 +
Class. Forecasting with AR, MA(infty) solutions [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w04a-ma-infinity-solution.pdf online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w04b-ma-infinity-solution.pdf online-B]
 +
 
 +
'''Week 5. 2023-02-11 '''
 +
 
 +
Lecture. Non-Stationary Time Series, Holt-Winter's exponential smoothing [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l5_done.pdf pdf]
 +
 
 +
Class. ACF, PACF for ARMA(1,1), AR(2) [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w05a-arma11-pacf-interpretation online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w05b-arma11-pacf-interpretation.pdf online-B]
 +
 
 +
'''Week 6. 2023-02-18 '''
 +
 
 +
Lecture. ETS-model [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_lecture-2023-02-18_ets-problems.pdf pdf]
 +
 
 +
Class. ETS(AAA) [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w06a-ets-aaa.pdf, online-A], [https://github.com/bdemeshev/tssp_2022-23/raw/main/online_classes/w06b-ets-aaa.pdf online-B]
 +
 
 +
'''Week 7. 2023-02-25 '''
 +
 
 +
Lecture. GARCH [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l7.pdf pdf]
 +
 
 +
'''Week 8.  2023-03-04'''
 +
 
 +
Lecture. UOL - point, interval estimators [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l8.pdf pdf]
 +
 
 +
'''Week 9. 2023-03-11 '''
 +
 
 +
Lecture. UOL - Fisher info [https://github.com/bdemeshev/tssp_2022-23/raw/main/lectures/TSSP_m3_l9.pdf pdf]
 +
 
 +
Class. Fisher info
 +
 
 +
'''Week 10. 2023-03-18 '''
 +
 
 +
Lecture. UOL
 +
 
 +
'''Week 11. 2023-03-25 '''
 +
 
 +
Midterm
  
 
== Sources ==
 
== Sources ==
 
* [https://github.com/bdemeshev/tssp_exams/raw/main/tssp_exams.pdf all past exams]
 
* [https://github.com/bdemeshev/tssp_exams/raw/main/tssp_exams.pdf all past exams]
 +
* [https://github.com/bdemeshev/tssp_2022-23/tree/main/online_classes handwritten class notes]
 
* [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_20_21 Wiki 2020-21], [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_21_22 Wiki 2021-22]
 
* [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_20_21 Wiki 2020-21], [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_21_22 Wiki 2021-22]
 
* [https://github.com/bdemeshev/tssp/tree/master/2020_2021 Git repo 2020-21], [https://github.com/bdemeshev/tssp_2021-22/ Git repo 2021-22]
 
* [https://github.com/bdemeshev/tssp/tree/master/2020_2021 Git repo 2020-21], [https://github.com/bdemeshev/tssp_2021-22/ Git repo 2021-22]
 
* [https://t.me/TSSP22 TG chat 2022-23]
 
* [https://t.me/TSSP22 TG chat 2022-23]
−
* [https://www.youtube.com/playlist?list=PLGpdGKp2JUvygvPGgYZLNoC82Ug8Fd81L видео семинаров 2022-23 на русском]
+
* [https://www.youtube.com/playlist?list=PLGpdGKp2JUvygvPGgYZLNoC82Ug8Fd81L видео очных семинаров 2022-23], [https://disk.yandex.ru/d/ceN8JNGEE1GE5Q видео Zoom семинаров 2022-23]
 +
* [https://disk.yandex.com.ge/d/o_QCTfVi_hLQSA видео консультаций 2022-23 на русском]
  
 
* [https://github.com/mavam/stat-cookbook/releases/download/0.2.6/stat-cookbook.pdf Statistics cookbook]
 
* [https://github.com/mavam/stat-cookbook/releases/download/0.2.6/stat-cookbook.pdf Statistics cookbook]

Текущая версия на 11:31, 24 марта 2023

General course info

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

Actual grades: xlsx, html

Teachers and assistants

Lecturer: Peter Lukianchenko

Class teacher: Boris Demeshev, Sveta Popova, Maria Kirillova

Home assignments

Log Book

Semester I

Нажми "развернуть", чтобы просмотреть содержимое - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 🡣


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

Class: Solve midterm tasks

Week 9. 2022-11-05

Lecture. Stochastic integral, Ito formula pdf

Class: Stochastic integral, L2 convergence

Week 10. 2022-11-12

Lecture. Ito's lemma, BS model pdf

Class: Stochastic integral (Wu dWu), L2 convergence

Week 11. 2022-11-19

Lecture. BS solution pdf

Class: Ito's lemma

Week 12. 2022-11-26

Lecture. Binomial tree, risk-neutral probability pdf

Class: BS model, SDE


Semester II

Week 1. 2023-01-14

Lecture. Intro to Time Series, stationarity, ACF, PACF pdf

Class: White noise, stationarity online-A, online-B

Week 2. 2023-01-21

Lecture. ARMA process, more ACF/PACF pdf

Class: ACF, PACF online-A, online-B

Week 3. 2023-01-28

Lecture. ARMA process, more ACF/PACF pdf

Class: recurrence equations and AR(1), Yule-Wolker equations for PACF online-A, online-B

Week 4. 2023-02-04

Lecture. Forecasting with ARMA, ADF pdf

Class. Forecasting with AR, MA(infty) solutions online-A, online-B

Week 5. 2023-02-11

Lecture. Non-Stationary Time Series, Holt-Winter's exponential smoothing pdf

Class. ACF, PACF for ARMA(1,1), AR(2) online-A, online-B

Week 6. 2023-02-18

Lecture. ETS-model pdf

Class. ETS(AAA) online-A, online-B

Week 7. 2023-02-25

Lecture. GARCH pdf

Week 8. 2023-03-04

Lecture. UOL - point, interval estimators pdf

Week 9. 2023-03-11

Lecture. UOL - Fisher info pdf

Class. Fisher info

Week 10. 2023-03-18

Lecture. UOL

Week 11. 2023-03-25

Midterm

Sources

MC + MCMC

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

Stochastic Calculus

  • Zastawniak, Basic Stochastic Processes

Time Series

UCM

Источник — «http://wiki.cs.hse.ru/index.php?title=Tssp-2022-23&oldid=77198»