Stochastic processes and applications DSBA 2026/2027: различия между версиями

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=== Course goals ===
<span style="font-size:90%; letter-spacing:2px;">FCS · HSE · 2026/27</span><br />
<span style="font-size:190%; line-height:1.25;">'''Stochastic Processes and Applications'''<br />'''Time Series Analysis'''</span><br />
<span>Data Science and Business Analytics</span>
</div>


<div style="border:1px solid #aaa; padding:12px 16px; margin:0 0 20px;">
侍には目標がなく道しかない [Samurai niwa mokuhyō ga naku michi shikanai]
<span lang="ja">侍には目標がなく道しかない</span><br />
''Samurai niwa mokuhyō ga naku michi shikanai.''<br />
'''A samurai has no goal, only a path.'''
</div>


''Random walks. Occasional enlightenment.''
A samurai has no goal, only a path.


<div style="padding:10px 14px; margin:16px 0;">
Telegram '''[https://t.me/+oM4HmZaMsV1lOWIy chat]'''
[https://t.me/+oM4HmZaMsV1lOWIy '''Course chat'''] · [[#Teaching team and contacts|Teaching team]] · [[#Rules of the game|Rules of the game]] · [[#Sources of Wisdom|Sources of Wisdom]]
</div>


''The chat may not work in the parking lot. The Markov property still does.''
[https://www.hse.ru/ba/data/courses/1163520553.html Syllabus]


== Course information ==
'''[https://docs.google.com/spreadsheets/d/1PdbMTFTfhzk1j0U8dS_2BknBllC4b2NKp-OwcXatLTc/edit?usp=sharing Marks]'''


{| class="wikitable" style="width:100%; border:1px solid #aaa;"
== Teachers and assistants ==
|-
'''Teachers:'''
! Course !! Year of study !! Modules !! Credits !! Language
[https://t.me/PetrLukianchenko Пётр Лукьянченко]
|-
[https://t.me/makirill Мария Кириллова]
| Stochastic Processes and Applications (SP) || 3 || 1–2 || 4 || English
[https://t.me/Alyona_Chislova Алёна Числова]  
|-
| Time Series Analysis (TSA) || 3 || 3–4 || 4 || English
|}
 
SP covers stochastic models, including Markov chains, random walks and martingales. TSA focuses on modelling and forecasting time series. Prerequisites include probability, statistical inference and linear algebra.
 
Official course information: [https://www.hse.ru/ba/data/courses/1163520553.html SP 2026/27] · [https://www.hse.ru/ba/data/courses/1163520577.html TSA 2026/27].
 
== Course links ==


{| class="wikitable" style="width:100%; border:1px solid #aaa;"
'''Assistants:'''
|-
{| class="wikitable" style="text-align:center"
! Resource !! Link
|-
|-
| Telegram course chat || [https://t.me/+oM4HmZaMsV1lOWIy SP–TSA course chat]
! Name !! Responsibilities / groups
|-
|-
| Gradebook || [https://docs.google.com/spreadsheets/d/1PdbMTFTfhzk1j0U8dS_2BknBllC4b2NKp-OwcXatLTc/edit?usp=sharing SP-TSA 26-27]
| [https://t.me/Mellodizzz Иван Новосад] || Lecturer's assistant
|-
|-
| Course materials || [[#Sources of Wisdom|Sources of Wisdom — notes, videos, assignments and reading]]
| [https://t.me/ekaesha Ева Каримова] || Groups 243, 245
|-
|-
| SP syllabus (ПУД) || [https://dp.hse.ru/#/summary?implementationId=16281511160 SP syllabus — 2025/26 archive]
| [https://t.me/askbkt Аскар Биктибаев] || Group 244
|-
|-
| TSA syllabus (ПУД) || [https://dp.hse.ru/#/summary?implementationId=16281526312 TSA syllabus — link from the 2026/27 course page]
| [https://t.me/komfajx Ольга Макогонова] || Groups 241, 242
|}
|}


== Teaching team and contacts ==
== Grading ==


'''Lecturers'''
'''<span style="color:#0000FF">Final grade = round(0.25 × Quizzes + 0.35 × Midterm + 0.40 × Exam, 2)</span>'''


{| class="wikitable" style="width:100%; border:1px solid #aaa;"
Home assignments are almost surely released weekly. You do not need to submit regular home assignments: the following class includes a quiz with one or two problems some how based on the home assignment. At the end of the course you have 3 honey pots: a right to rewrite '''<span style="color:#A81C07">3</span>''' missed or badly written quizzes.
|-
! Name !! Teaching responsibilities !! Telegram
|-
| Пётр Лукьянченко || Lectures || [https://t.me/PetrLukianchenko @PetrLukianchenko]
|-
| Мария Кириллова || Lectures; seminars for groups 241, 242 || [https://t.me/makirill @makirill]
|-
| Алёна Числова || Lectures; seminars for groups 243, 244, 245 || [https://t.me/Alyona_Chislova @Alyona_Chislova]
|}
 
'''Teaching assistants'''
 
{| class="wikitable" style="width:100%; border:1px solid #aaa;"
|-
! Name !! Responsibilities / groups !! Telegram
|-
| Иван Новосад || Lecturer's assistant || [https://t.me/Mellodizzz @Mellodizzz]
|-
| Ева Каримова || Groups 243, 245 || [https://t.me/ekaesha @ekaesha]
|-
| Аскар Биктибаев || Group 244 || [https://t.me/askbkt @askbkt]
|-
| Ольга Макогонова || Groups 241, 242 || [https://t.me/komfajx @komfajx]
|}
 
== Rules of the game ==
 
=== Gradebook calculation ===
 
The calculation below follows the '''SP-TSA 26-27''' gradebook.
 
''Random processes, deterministic weights.''
 
<div style="padding:10px 16px; margin:14px 0;">
: '''Final (100-point scale) = round(0.25 × Q + 0.35 × M1 + 0.40 × M2*, 2).'''
: '''Final (10-point scale) = round(Final (100-point scale) / 10, 0).'''
</div>
 
Here Q is the aggregate quiz score, M1 is Scaled Mid1, and M2* is Scaled Mid2 unless a Scaled Retake score has been entered. When a retake score is present, it replaces Scaled Mid2.
 
{| class="wikitable" style="width:100%; border:1px solid #aaa;"
|-
! Item !! Rule
|-
| Quizzes 1–8 || Each quiz uses a 10-point scale. All eight quizzes count equally: Q = min(100, round((q1 + … + q8) / 8 × 10, 0)). No lowest scores are dropped.
|-
| Mid1 and Mid2 || The scores recorded in the gradebook use a 100-point scale and contribute 35% and 40%, respectively.
|-
| Retake || The entered Scaled Retake score replaces Scaled Mid2, including when it is lower. The quiz component and Scaled Mid1 are retained.
|-
| Rounding || Q is rounded to an integer before weighting. The weighted total is rounded to two decimal places, then divided by 10 and rounded to an integer. For nonnegative grades, halfway values round upwards: 6.5 becomes 7.
|-
| Incomplete results || The quiz result remains blank until at least one numeric quiz score is entered. The divisor remains 8, so unfilled quizzes contribute zero to the displayed calculation. The final grade remains blank until Q, Scaled Mid1 and either Scaled Mid2 or Scaled Retake are available.
|}
 
=== Stochastic Processes: Halloween, Ded Moroz and honey ===
 
In the course tradition, Mid1 is the '''Halloween Exam''' and Mid2 is the '''Ded Moroz Exam'''.
 
''Two seasonal encounters on the samurai path.''
 
'''Home assignments and quizzes'''
 
Home assignments are normally released weekly. You do not need to submit regular home assignments: the following class includes a quiz with one or two problems closely resembling the assignment. Once during the course, a home assignment takes the form of a computer-assisted project.
 
<div style="padding:12px 16px; margin:16px 0;">
'''Five honey pots''' — ''use wisely.''
 
At the end of the SP course, you have five honey pots, giving you the right to rewrite five missed or poorly completed quizzes. Honey pots consumed are recorded separately in the gradebook; this count is not a separate weighted component of the final grade.
</div>
 
These assignment and honey-pot rules are carried over from the [https://wiki.cs.hse.ru/Stochastic_processes_and_applications_DSBA_2025/2026 2025/26 SP course].


== Sources of Wisdom ==
== Sources of Wisdom ==
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=== Course materials ===
=== Course materials ===
 
{| class="wikitable" style="text-align:center"
{| class="wikitable" style="width:100%; border:1px solid #aaa;"
|-
|-
! Resource !! Links
! Resource !! Links
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=== Probability and Markov chains ===
=== Probability and Markov chains ===
* [https://github.com/bdemeshev/stochastic_pro/raw/main/stochastic_pro.pdf StoPro — Problems in Stochastic Processes]
* [https://github.com/bdemeshev/stochastic_pro/raw/main/stochastic_pro.pdf StoPro — Problems in Stochastic Processes]
* [https://projects.iq.harvard.edu/stat110/home Introduction to Probability — Blitzstein and Hwang]
* [https://projects.iq.harvard.edu/stat110/home Introduction to Probability — Blitzstein and Hwang]
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=== Monte Carlo and MCMC ===
=== Monte Carlo and MCMC ===
* [https://eml.berkeley.edu/reprints/misc/understanding.pdf Chib and Greenberg — Understanding the Metropolis–Hastings Algorithm]
* [https://eml.berkeley.edu/reprints/misc/understanding.pdf Chib and Greenberg — Understanding the Metropolis–Hastings Algorithm]
* [http://biostat.jhsph.edu/~mmccall/articles/casella_1992.pdf Casella — Explaining the Gibbs Sampler]
* [http://biostat.jhsph.edu/~mmccall/articles/casella_1992.pdf Casella — Explaining the Gibbs Sampler]
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=== Stochastic calculus ===
=== Stochastic calculus ===
* Zastawniak — ''Basic Stochastic Processes''.
* Zastawniak — ''Basic Stochastic Processes''.
* [https://github.com/bdemeshev/sc401/raw/master/matek2_collect/matek2_collection.pdf ICEF master's course exams]
* [https://github.com/bdemeshev/sc401/raw/master/matek2_collect/matek2_collection.pdf ICEF master's course exams]
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* [https://github.com/bdemeshev/sc_book/raw/master/sc_book.pdf Draft textbook — Russian]
* [https://github.com/bdemeshev/sc_book/raw/master/sc_book.pdf Draft textbook — Russian]
* [https://github.com/bdemeshev/sc401/raw/master/sc_pset/sc_problems_main.pdf Draft problem collection — Russian]
* [https://github.com/bdemeshev/sc401/raw/master/sc_pset/sc_problems_main.pdf Draft problem collection — Russian]
=== Time series ===
* [https://otexts.com/fpp3/ Forecasting: Principles and Practice — R]
* [https://www.stat.pitt.edu/stoffer/tsa4/ Shumway and Stoffer — Time Series Analysis]
* [https://faculty.chicagobooth.edu/ruey-s-tsay/teaching Ruey Tsay — teaching materials]
* [https://staff.fnwi.uva.nl/p.j.c.spreij/onderwijs/master/aadtimeseries2010.pdf Aad van der Vaart — Time Series lecture notes]
* [http://www.math.leidenuniv.nl/~avdvaart/timeseries/index.html Aad van der Vaart — Time Series course page]
* [https://github.com/bdemeshev/ts_pset Time series problem collection — Russian]
==== Unobserved components and state-space models ====
* [https://www.statsmodels.org/dev/examples/notebooks/generated/statespace_structural_harvey_jaeger.html Harvey–Jaeger example — Detrending, Stylized Facts and the Business Cycle]
* [https://core.ac.uk/download/pdf/6242335.pdf João Tovar Jalles — Structural Time Series Models and the Kalman Filter]
* [https://pdfs.semanticscholar.org/0bc8/582016086017763b93e87ad8640ec1816aeb.pdf Harvey — Forecasting with Unobserved Components Models]
* [http://www.chadfulton.com/fulton_statsmodels_2017/ Chad Fulton — state-space modelling]
* [https://robjhyndman.com/uwafiles/9-StateSpaceModels.pdf Rob Hyndman — State Space Models]


=== Previous paths ===
=== Previous paths ===
 
* [https://wiki.cs.hse.ru/Stochastic_processes_and_applications_DSBA_2025/2026 2025/26 Stochastic Processes and Applications]
* [https://wiki.cs.hse.ru/Stochastic_processes_and_applications_DSBA_2025/2026 2025/26 — Stochastic Processes and Applications]
* [https://wiki.cs.hse.ru/Tssp-2024-25 2024/25]
* [https://wiki.cs.hse.ru/Tssp-2024-25 2024/25]
* [https://wiki.cs.hse.ru/Tssp-2023-24 2023/24]
* [https://wiki.cs.hse.ru/Tssp-2023-24 2023/24]
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* [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_21_22 2021/22]
* [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_21_22 2021/22]
* [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_20_21 2020/21]
* [http://wiki.cs.hse.ru/Time_Series_and_Stochastic_Processes_ada_20_21 2020/21]
----
''The path continues, almost surely.''
''The path continues, almost surely.''

Текущая версия от 20:17, 18 сентября 2026

Course goals

侍には目標がなく道しかない [Samurai niwa mokuhyō ga naku michi shikanai]

A samurai has no goal, only a path.

Telegram chat

Syllabus

Marks

Teachers and assistants

Teachers: Пётр Лукьянченко Мария Кириллова Алёна Числова

Assistants:

Name Responsibilities / groups
Иван Новосад Lecturer's assistant
Ева Каримова Groups 243, 245
Аскар Биктибаев Group 244
Ольга Макогонова Groups 241, 242

Grading

Final grade = round(0.25 × Quizzes + 0.35 × Midterm + 0.40 × Exam, 2)

Home assignments are almost surely released weekly. You do not need to submit regular home assignments: the following class includes a quiz with one or two problems some how based on the home assignment. At the end of the course you have 3 honey pots: a right to rewrite 3 missed or badly written quizzes.

Sources of Wisdom

Enlightenment is not guaranteed. The reading list is a good start.

The resources below come from earlier course pages. Assignment files and recordings retain their original academic-year labels.

Course materials

Resource Links
Home assignments SP 2025/26 · SP–TSA 2024/25 · 2023/24
Lecture and class notes 2025/26 notes · 2024/25 lecture slides and notes · Maria Kirillova's notes — 2024/25
Videos — made with love 2025/26 recordings · 2024/25 class recordings · Practice playlist
Past exams Past exam collection · Сливы осеннего экзамена 2026
Course whitepaper Whitepaper linked on the 2024/25 and 2025/26 course pages

Probability and Markov chains

Monte Carlo and MCMC

Stochastic calculus

Previous paths

The path continues, almost surely.

Источник — https://wiki.cs.hse.ru/index.php?title=Stochastic_processes_and_applications_DSBA_2026/2027&oldid=97684