Time Series and Stochastic Processes ada 20 21

• [tg-channel https://t.me/joinchat/DtwHDEbRczyglTC1Z-W-Ug]

Sources

Stochastic Calculus

• Exams of ICEF master course

• Заметки магистерского курса МИЭФ (рус)

• Черновик учебника (рус)

• Черновик задачника (рус)

Time Series

• Forecasting principles and practice (R)

• Черновик задачника (рус)

UCM

• aa

• bb

• Harvey, Forecasting with UCM

• Chad Fulton

• Rob Hyndman, State Space Models

MC + MCMC

• James Norris, Markov chains (1998, no kernels)

• Chib and Greenberg, Understanding MH algorithm

• Casella, Explaining Gibbs Sampler

• (no kernels)

• General State Space Markov Chains by Roberts and Rosenthal (+++, статья)

• Visualization of MCMC methods

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