STK4050 - Autumn 2009

Undervisningsplan

DatoUndervises avStedTemaKommentarer / ressurser
19.08.2009Geir Storvik? Aud 4? Introduction, part of chapter 1? We went through a lot of stuff, some parts perhaps a bit difficult. The main message is however that integrals occur in many statistical problems (as well as other places) and that we want to look at Monte Carlo methods for evaluating such integrals.?
26.08.2009Geir Storvik? Aud 4? Random variable generation, Monte Carlo integration? Chapter 2: 2.1.2 and 2.3

Chapter 3: 3.1

R-code to example 3.6?

02.09.2009Geir Storvik? Aud 4? Monte Carlo integration? Chapter 3: and 3.2 (not example 3.14), 3.4

Chapter 4: 4.2 (until footmark 4 on page 131), 4.4

R-code?

09.09.2009Geir Storvik? Aud 4? Markov Chain Monte Carlo? Chapter 4: 4.4 (continued), Code for common random numbers, code for control variates .

Chapter 6: Brief intro to Markov chains and some of their important properties. We will not go into the proofs of the results but rather discuss them. Main topics: Definition of a Markov chain (sec 6.1), transition kernel (def 6.2), weak Markov property (prop 6.9), irreducibility (start of sec 6.3), invariant measures (def 6.35), ergodicity and convergence (def 6.47, prop 6.51, prop 6.63).

Chapter 7: Sec 7.1, 7.2, 7.3?

16.09.2009Geir Storvik? Aud 4? Markov Chain Monte Carlo ? Chapter 6: Definition and properties of Markov chains (sketchy)

?

23.09.2009Geir Storvik? Aud 4? Markov Chain Monte Carlo - Metropolis Hastings? Chapter 7: Sec 7.1 (we will only discuss the results, not prove these), 7.2. Code for Metropolis-Hastings?
30.09.2009Geir Storvik? ? There will be no lectures or exercises this week? ?
07.10.2009Geir Storvik? Aud 4? Metropolis Hastings, Slice sampler? Chapter 7, Sec 7.2, 7.3, 7.4 (not 7.4.2), 7.5

Code for example 7.10

Code for example 7.11?

14.10.2009? ? ? There will be no lectures or exercises this week .?
21.10.2009Geir Storvik? Aud 4? Slice sampler? Chapter 8: 8.1, code to example 8.2, note about slice sampler?
28.10.2009Geir Storvik? Aud 4? Gibbs sampler ? Chapter 9: 9.1,9.2

Chapter 10: 10.1, 10.2

Code for example 9.2

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04.11.2009Geir Storvik? Aud 4? Convergence diagnosis, Sequential importance sampling? Chapter 12: 12.1, 12.2 (12.2.1,12.2.2), 12.2.3 (12.3.1,12.3.4,12.3.5)

Chapter 14: 14.1, 14.2

Code for simulating data from stochastic volatility example, for SIS-alg, for SIS with resampling?

11.11.2009Geir Storvik? Aud 4? Sequential importance sampling? Chapter 14: 14.2, 14.3?
18.11.2009Petter Abrahamsen? Alfa & Omega at Norwegian Computing center, 4th floor, informatics building? Stochastic simulation - Some practical applications and problems ? Petter Abrahamsen is Research Director for the SAND group at Norwegian Computing Center. This group, working primarily towards the oil industry, apply Monte Carlo methods on huge scales for solving their computational problems. This lecture will describe some of the approaches they use but also some challenges they meet.?
Published Aug. 19, 2009 5:51 PM - Last modified Feb. 7, 2020 4:14 PM
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