Tssp-2023-24 — различия между версиями

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== General course info ==
 
== General course info ==
  
 
==== Grading ====
 
 
 
==== Teachers and assistants ====
 
  
 
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
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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
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[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
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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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* [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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* [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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=== 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]

Версия 06:06, 6 сентября 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

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

Stochastic Calculus

  • Zastawniak, Basic Stochastic Processes

Time Series

UCM