Tssp-2023-24 — различия между версиями
Материал из Wiki - Факультет компьютерных наук
Bdemeshev (обсуждение | вклад) |
Bdemeshev (обсуждение | вклад) |
||
Строка 1: | Строка 1: | ||
== General course info == | == General course info == | ||
− | |||
− | |||
− | |||
− | |||
− | |||
Lecturer: [https://www.hse.ru/org/persons/14276760 Peter Lukianchenko] | Lecturer: [https://www.hse.ru/org/persons/14276760 Peter Lukianchenko] | ||
− | Practice and problem solving: Boris Demeshev | + | Practice and problem solving: Boris Demeshev, Friday 16:20-17:40 Moscow time, [zoom] |
Class teacher: [https://www.hse.ru/org/persons/14288706 Sveta Popova], Maria Kirillova | Class teacher: [https://www.hse.ru/org/persons/14288706 Sveta Popova], Maria Kirillova | ||
Строка 31: | Строка 26: | ||
[http://www.statslab.cam.ac.uk/~rrw1/markov/ Cambridge course] on Markov chains | [http://www.statslab.cam.ac.uk/~rrw1/markov/ Cambridge course] on Markov chains | ||
+ | |||
+ | |||
+ | ==Sources of Wisdom== | ||
+ | |||
+ | * [https://github.com/bdemeshev/tssp_exams/raw/main/tssp_exams.pdf all past exams] | ||
+ | * [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] | ||
+ | * [https://t.me/spts2023 TG chat 2023-24] | ||
+ | * [https://github.com/mavam/stat-cookbook/releases/download/0.2.7/stat-cookbook.pdf Statistics cookbook] | ||
+ | |||
+ | === MC + MCMC === | ||
+ | |||
+ | * [http://www.statslab.cam.ac.uk/~rrw1/markov/ Cambridge course] on Markov chains | ||
+ | |||
+ | * Chib and Greenberg, [https://eml.berkeley.edu/reprints/misc/understanding.pdf Understanding MH algorithm] | ||
+ | |||
+ | * Casella, [http://biostat.jhsph.edu/~mmccall/articles/casella_1992.pdf Explaining Gibbs Sampler] | ||
+ | |||
+ | * Roberts and Rosenthal, [https://projecteuclid.org/euclid.ps/1099928648 General State Space Markov Chains] | ||
+ | |||
+ | * [https://chi-feng.github.io/mcmc-demo Visualization of MCMC methods] | ||
+ | |||
+ | * Charles Geyer, [http://www.stat.umn.edu/geyer/f05/8931/n1998.pdf MCMC lecture notes] (with a little bit of kernels!) | ||
+ | |||
+ | === Stochastic Calculus === | ||
+ | |||
+ | * Zastawniak, Basic Stochastic Processes | ||
+ | |||
+ | * [https://github.com/bdemeshev/sc401/raw/master/matek2_collect/matek2_collection.pdf Exams of ICEF master course] | ||
+ | |||
+ | * [https://bdemeshev.github.io/sc401/ Заметки магистерского курса МИЭФ (рус)] | ||
+ | |||
+ | * [https://github.com/bdemeshev/sc_book/raw/master/sc_book.pdf Черновик учебника (рус)] | ||
+ | |||
+ | * [https://github.com/bdemeshev/sc401/raw/master/sc_pset/sc_problems_main.pdf Черновик задачника (рус)] | ||
+ | |||
+ | === Time Series === | ||
+ | |||
+ | * [https://otexts.com/fpp3/ Forecasting principles and practice (R)] | ||
+ | |||
+ | * [https://www.stat.pitt.edu/stoffer/tsa4/ Shumway, Stoffer Time Series Analysis] | ||
+ | |||
+ | * [https://faculty.chicagobooth.edu/ruey-s-tsay/teaching Ruey Tsay web page] | ||
+ | |||
+ | * Van der Vaart, [http://www.math.leidenuniv.nl/~avdvaart/timeseries/index.html Time Series] | ||
+ | |||
+ | * [https://github.com/bdemeshev/ts_pset Черновик задачника (рус)] | ||
+ | |||
+ | ==== UCM ==== | ||
+ | |||
+ | * Harvey Jaeger, [https://www.statsmodels.org/dev/examples/notebooks/generated/statespace_structural_harvey_jaeger.html Detrending, Stylized Facts and the Business Cycle] | ||
+ | |||
+ | * João Tovar Jalles, [https://core.ac.uk/download/pdf/6242335.pdf Structural Time Series Models and the Kalman Filter] | ||
+ | |||
+ | * [https://pdfs.semanticscholar.org/0bc8/582016086017763b93e87ad8640ec1816aeb.pdf Harvey, Forecasting with UCM] | ||
+ | |||
+ | * [http://www.chadfulton.com/fulton_statsmodels_2017/ Chad Fulton] | ||
+ | |||
+ | * [https://robjhyndman.com/uwafiles/9-StateSpaceModels.pdf Rob Hyndman, State Space Models] |
Версия 06:06, 6 сентября 2023
Содержание
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
Week 1. 2023-09-04
Lecture. Markov chains, transition matrix, pdf
Class. Transition matrix, first step analysis, pdf by Maria
More:
Cambridge course on Markov chains
Sources of Wisdom
MC + MCMC
- 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