Tssp-2023-24 — различия между версиями

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(Новая страница: «== General course info == ==== Grading ==== ==== Teachers and assistants ==== Lecturer: [https://www.hse.ru/org/persons/14276760 Peter Lukianchenko] Practi…»)
 
(→‎Semester I: Stochastic Processes)
 
(не показано 16 промежуточных версии 2 участников)
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==== Grading ====
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Lecturer: [https://www.hse.ru/org/persons/14276760 Peter Lukianchenko]
  
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Practice and problem solving: [https://www.hse.ru/staff/bbd/ Boris Demeshev], Friday 16:20-17:40 Moscow time, [https://zoom.us/j/8126338383 zoom]
  
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==== Teachers and assistants ====
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Class teacher: [https://www.hse.ru/org/persons/14288706 Sveta Popova], [https://www.hse.ru/org/persons/785361814 Maria Kirillova]
  
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Lecturer: [https://www.hse.ru/org/persons/14276760 Peter Lukianchenko]
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==Log Book ==
  
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Practice and problem solving: Boris Demeshev
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==== Semester I: Stochastic Processes  ====
  
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Class teacher: [https://www.hse.ru/org/persons/14288706 Sveta Popova], Maria Kirillova
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[https://www.youtube.com/playlist?list=PLnIS95ct9auXMX-4-ESGZvigU1w6kexw0 Practice playlist]
  
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[https://raw.githubusercontent.com/bdemeshev/tssp_2023-24/main/ha/tssp_ha.pdf home assignments]
  
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'''Week 0. 2023-09-02'''
  
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Lecture. Markov chains, transition matrix, [https://github.com/bdemeshev/tssp_2023-24/raw/main/lectures/TSSP_23_m1_l1%202.pdf pdf]
  
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==Log Book ==
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'''Week 1. 2023-09-04'''
  
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==== Semester I  ====
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Class. Transition matrix, first step analysis, [https://github.com/bdemeshev/tssp_2023-24/raw/main/classes/HSE_sem1.pdf pdf by Maria]
  
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Practice. MGF and first step analysis, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-01.pdf pdf]
  
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Lecture. Markov chains, classification of states, [https://github.com/bdemeshev/tssp_2023-24/raw/main/lectures/TSSP_23_m1_l2.pdf pdf]
  
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'''Week 1. 2023-09-04'''
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More:
  
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Lecture. Markov chains, transition matrix,  
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[http://www.statslab.cam.ac.uk/~rrw1/markov/ Cambridge course] on Markov chains
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'''Week 2. 2023-09-11'''
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Practice. More generating functions and first step analysis, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-02.pdf pdf]
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Lecture. Convergence. [https://github.com/bdemeshev/tssp_2023-24/raw/main/lectures/TSSP_23_m1_l3.pdf pdf]
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'''Week 3. 2023-09-16'''
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Lecture + practice. Poisson process, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-03.pdf pdf], [https://bdemeshev.github.io/tssp_2023-24/poisson-process.html notes in progress]
  
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Class. Transition matrix, first step analysis.  
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Class. Stationary distribution, convergence, [https://github.com/bdemeshev/tssp_2023-24/raw/main/classes/HSE_sem3.pdf pdf by Maria]
  
 
More:
 
More:
  
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[http://www.statslab.cam.ac.uk/~rrw1/markov/ Cambridge course] on Markov chains
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[https://towardsdatascience.com/the-inspection-paradox-is-everywhere-2ef1c2e9d709 Inspection paradox], [https://www.math.ucla.edu/~mason/papers/frym-WTP-published.pdf Waiting time paradox], [https://en.wikipedia.org/wiki/Friendship_paradox Friendship paradox]
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'''Week 4. 2023-09-16'''
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Practice. Convergence, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-04.pdf pdf]
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Lecture. Conditional expected value, [https://github.com/bdemeshev/tssp_2023-24/raw/main/lectures/TSSP_23_m1_l4.pdf pdf]
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'''Week 5. 2023-09-16'''
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Practice. Conditional expected value and variance, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-05.pdf pdf]
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Lecture. Sigma-algebras, [https://github.com/bdemeshev/tssp_2023-24/blob/main/lectures/TSSP_23_m1_l6_v2.pdf pdf]
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'''Week 6. 2023-09-16'''
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Practice. Sigma-algebras, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-06.pdf pdf]
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Lecture.
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==Sources of Wisdom==
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* [https://github.com/bdemeshev/tssp_exams/raw/main/tssp_exams.pdf all past exams]
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* [https://github.com/bdemeshev/stochastic_pro/raw/main/stochastic_pro.pdf a lot of problems...] (under construction)
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* [https://t.me/spts2023 TG chat 2023-24]
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* [https://github.com/mavam/stat-cookbook/releases/download/0.2.7/stat-cookbook.pdf Statistics cookbook]
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* [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/Tssp-2022-23 Wiki 2022-23]
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=== MC + MCMC ===
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* [http://www.statslab.cam.ac.uk/~rrw1/markov/ Cambridge course] on Markov chains
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* Chib and Greenberg, [https://eml.berkeley.edu/reprints/misc/understanding.pdf Understanding MH algorithm]
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* Casella, [http://biostat.jhsph.edu/~mmccall/articles/casella_1992.pdf Explaining Gibbs Sampler]
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* Roberts and Rosenthal, [https://projecteuclid.org/euclid.ps/1099928648 General State Space Markov Chains]
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* [https://chi-feng.github.io/mcmc-demo Visualization of MCMC methods]
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* Charles Geyer, [http://www.stat.umn.edu/geyer/f05/8931/n1998.pdf MCMC lecture notes] (with a little bit of kernels!)
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=== Stochastic Calculus ===
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* Zastawniak, Basic Stochastic Processes
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* [https://github.com/bdemeshev/sc401/raw/master/matek2_collect/matek2_collection.pdf Exams of ICEF master course]
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* [https://bdemeshev.github.io/sc401/ Заметки магистерского курса МИЭФ (рус)]
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* [https://github.com/bdemeshev/sc_book/raw/master/sc_book.pdf Черновик учебника (рус)]
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* [https://github.com/bdemeshev/sc401/raw/master/sc_pset/sc_problems_main.pdf Черновик задачника (рус)]
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=== Time Series ===
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* [https://otexts.com/fpp3/ Forecasting principles and practice (R)]
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* [https://www.stat.pitt.edu/stoffer/tsa4/ Shumway, Stoffer Time Series Analysis]
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* [https://faculty.chicagobooth.edu/ruey-s-tsay/teaching Ruey Tsay web page]
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* Van der Vaart, [http://www.math.leidenuniv.nl/~avdvaart/timeseries/index.html Time Series]
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* [https://github.com/bdemeshev/ts_pset Черновик задачника (рус)]
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==== UCM ====
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* Harvey Jaeger, [https://www.statsmodels.org/dev/examples/notebooks/generated/statespace_structural_harvey_jaeger.html Detrending, Stylized Facts and the Business Cycle]
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* João Tovar Jalles, [https://core.ac.uk/download/pdf/6242335.pdf Structural Time Series Models and the Kalman Filter]
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* [https://pdfs.semanticscholar.org/0bc8/582016086017763b93e87ad8640ec1816aeb.pdf Harvey, Forecasting with UCM]
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* [http://www.chadfulton.com/fulton_statsmodels_2017/ Chad Fulton]
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* [https://robjhyndman.com/uwafiles/9-StateSpaceModels.pdf Rob Hyndman, State Space Models]

Текущая версия на 18:41, 13 октября 2023

General course info

Lecturer: Peter Lukianchenko

Practice and problem solving: Boris Demeshev, Friday 16:20-17:40 Moscow time, zoom

Class teacher: Sveta Popova, Maria Kirillova

Log Book

Semester I: Stochastic Processes

Practice playlist

home assignments

Week 0. 2023-09-02

Lecture. Markov chains, transition matrix, pdf

Week 1. 2023-09-04

Class. Transition matrix, first step analysis, pdf by Maria

Practice. MGF and first step analysis, pdf

Lecture. Markov chains, classification of states, pdf

More:

Cambridge course on Markov chains

Week 2. 2023-09-11

Practice. More generating functions and first step analysis, pdf

Lecture. Convergence. pdf

Week 3. 2023-09-16

Lecture + practice. Poisson process, pdf, notes in progress

Class. Stationary distribution, convergence, pdf by Maria

More:

Inspection paradox, Waiting time paradox, Friendship paradox

Week 4. 2023-09-16

Practice. Convergence, pdf

Lecture. Conditional expected value, pdf

Week 5. 2023-09-16

Practice. Conditional expected value and variance, pdf

Lecture. Sigma-algebras, pdf

Week 6. 2023-09-16

Practice. Sigma-algebras, pdf

Lecture.

Sources of Wisdom


MC + MCMC

Stochastic Calculus

  • Zastawniak, Basic Stochastic Processes

Time Series

UCM

Источник — «http://wiki.cs.hse.ru/index.php?title=Tssp-2023-24&oldid=80865»