Tssp-2023-24 — различия между версиями
Материал из Wiki - Факультет компьютерных наук
Bdemeshev (обсуждение | вклад) |
Bdemeshev (обсуждение | вклад) |
||
| Строка 30: | Строка 30: | ||
* [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/stochastic_pro/raw/main/stochastic_pro.pdf a lot of problems...] (under construction) |
* [https://t.me/spts2023 TG chat 2023-24] | * [https://t.me/spts2023 TG chat 2023-24] | ||
* [https://github.com/mavam/stat-cookbook/releases/download/0.2.7/stat-cookbook.pdf Statistics cookbook] | * [https://github.com/mavam/stat-cookbook/releases/download/0.2.7/stat-cookbook.pdf Statistics cookbook] | ||
| + | * [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] | ||
| + | |||
=== MC + MCMC === | === MC + MCMC === | ||
Версия 16:16, 8 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: Stochastic Processes
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
- all past exams
- a lot of problems... (under construction)
- TG chat 2023-24
- Statistics cookbook
- Wiki 2020-21, Wiki 2021-22, Wiki 2022-23
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
