imported>Bdemeshev: /* Semester I: Stochastic Processes */

2023-10-13T15:41:47Z

Semester I: Stochastic Processes

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== General course info ==

Lecturer: [https://www.hse.ru/org/persons/14276760 Peter Lukianchenko]

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]

Class teacher: [https://www.hse.ru/org/persons/14288706 Sveta Popova], [https://www.hse.ru/org/persons/785361814 Maria Kirillova]

==Log Book ==

==== Semester I: Stochastic Processes ====

[https://www.youtube.com/playlist?list=PLnIS95ct9auXMX-4-ESGZvigU1w6kexw0 Practice playlist]

[https://raw.githubusercontent.com/bdemeshev/tssp_2023-24/main/ha/tssp_ha.pdf home assignments]

'''Week 0. 2023-09-02'''

Lecture. Markov chains, transition matrix, [https://github.com/bdemeshev/tssp_2023-24/raw/main/lectures/TSSP_23_m1_l1%202.pdf pdf]

'''Week 1. 2023-09-04'''

Class. Transition matrix, first step analysis, [https://github.com/bdemeshev/tssp_2023-24/raw/main/classes/HSE_sem1.pdf pdf by Maria]

Practice. MGF and first step analysis, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-01.pdf pdf]

Lecture. Markov chains, classification of states, [https://github.com/bdemeshev/tssp_2023-24/raw/main/lectures/TSSP_23_m1_l2.pdf pdf]

More:

[http://www.statslab.cam.ac.uk/~rrw1/markov/ Cambridge course] on Markov chains

'''Week 2. 2023-09-11'''

Practice. More generating functions and first step analysis, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-02.pdf pdf]

Lecture. Convergence. [https://github.com/bdemeshev/tssp_2023-24/raw/main/lectures/TSSP_23_m1_l3.pdf pdf]

'''Week 3. 2023-09-16'''

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]

Class. Stationary distribution, convergence, [https://github.com/bdemeshev/tssp_2023-24/raw/main/classes/HSE_sem3.pdf pdf by Maria]

More:

[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]

'''Week 4. 2023-09-16'''

Practice. Convergence, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-04.pdf pdf]

Lecture. Conditional expected value, [https://github.com/bdemeshev/tssp_2023-24/raw/main/lectures/TSSP_23_m1_l4.pdf pdf]

'''Week 5. 2023-09-16'''

Practice. Conditional expected value and variance, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-05.pdf pdf]

Lecture. Sigma-algebras, [https://github.com/bdemeshev/tssp_2023-24/blob/main/lectures/TSSP_23_m1_l6_v2.pdf pdf]

'''Week 6. 2023-09-16'''

Practice. Sigma-algebras, [https://github.com/bdemeshev/tssp_2023-24/raw/main/practice/practice-06.pdf pdf]

Lecture.

==Sources of Wisdom==

* [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://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 ===

* [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]

Tssp-2023-24 - История изменений

imported>Bdemeshev: /* Semester I: Stochastic Processes */