Tssp-2023-24 — различия между версиями

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

• 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

• Visualization of MCMC methods

• Charles Geyer, MCMC lecture notes (with a little bit of kernels!)

Stochastic Calculus

• Zastawniak, Basic Stochastic Processes

• Exams of ICEF master course

• Заметки магистерского курса МИЭФ (рус)

• Черновик учебника (рус)

• Черновик задачника (рус)

Time Series

• Forecasting principles and practice (R)

• Shumway, Stoffer Time Series Analysis

• Ruey Tsay web page

• Van der Vaart, Time Series

• Черновик задачника (рус)

UCM

• Harvey Jaeger, Detrending, Stylized Facts and the Business Cycle

• João Tovar Jalles, Structural Time Series Models and the Kalman Filter

• Harvey, Forecasting with UCM

• Chad Fulton

• Rob Hyndman, State Space Models