Tssp-2023-24

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

Practice. MGF and first step analysis, pdf, [zoom recording]

More:

Cambridge course on Markov chains

Week 2. 2023-09-11

Lecture. pdf

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