MVE550 Stochastic processes and Bayesian inference
Course PM
This page contains the program of the course: lectures, exercise sessions and computer labs. Other information, such as learning outcomes, teachers, literature and examination, are in a separate course PM.
Program
The schedule of the course is in TimeEdit.
Lectures
| Day | Sections | Content |
|---|---|---|
| Tuesday 5/11 13:15-15:00 | Dobrow Chapter 1 + Appendices A, B, C, D | Lecture 1: Introduction and review |
| Thursday 7/11 13:15-15:00 | Lecture Notes Chapter 1 | Lecture 2: Basics of Bayesian inference |
| Tuesday 12/11 13:15-15:00 | Dobrow Chapters 2 and 3 | (Rest of Lecture 2). Lecture 3: Markov chains. R code used. |
| Thursday 14/11 13:15-15:00 | Dobrow Chapter 3 | (Rest of Lecture 3). Lecture 4: Markov chains |
| Tuesday 19/11 13:15-15:00 | Lecture Notes Chapter 2 | (Rest of Lecture 4): Lecture 5: Hidden Markov Models (HMM) R code used. |
| Thursday 21/11 13:15-15:00 | Dobrow Chapter 4 | Lecture 6: Branching processes |
| Tuesday 26/11 13:15-15:00 | Lecture Notes Chapters 3 and 4 | (Rest of lecture 5). Lecture 7: Inference for Markov chains and branching processes |
| Thursday 28/11 13:15-15:00 | Dobrow Chapter 5 | Lecture 8: Markov chain Monte Carlo (MCMC) |
| Tuesday 3/12 13:15-15:00 | Lecture Notes Chapter 5 | Lecture 9: MCMC |
| Thursday 5/12 13:15-15:00 | Dobrow Chapter 6 | Lecture 10: Poisson processes |
| Tuesday 10/12 13:15-15:00 | Dobrow Chapter 7 | Lecture 11: Continuous-time Markov chains |
| Thursday 12/12 13:15-15:00 | Dobrow Chapter 7 | Lecture 12: Continuous-time Markov chains. R code used. |
| Tuesday 17/12 13:15-15:00 | Dobrow Chapter 8 | Lecture 13: Brownian motion. R code used. |
| Thursday 19/12 13:15-15:00 | Dobrow Chapter 8 | Lecture 14: Brownian motion |
The following sections of Dobrow are NOT part of the curriculum: 3.9, 3.10, 5.5, 5.6, 6.8, 9.1,9.2,9.3.
Exercise sessions
There will be two parallel exercise groups. How they work may change over time and at the request of students, but initially we will use the following setup:
Petter (in SB-L200) will use a mix of student-led activity (working individually or in groups on exercises) and teacher-led activity (discussing solutions using the blackboard).
Anton (in SB-L216) will mainly focus on presenting exercise solutions on the blackboard.
Note: Exercises we do not have time for at one exercise session may be delayed to the next.
| Day | Exercises (preliminary list) |
|---|---|
| Tuesday 5/11 15:15 - 17:00 | Dobrow Chapter 1: 6, 9, 10, 14, 16, 20, 24, 30, 32, 35. Solutions |
| Thursday 7/11 15:15 - 17:00 | Lecture Notes Chapter 1: 3, 4, 6, 7, 8, (9, 10). |
| Tuesday 12/11 15:15 - 17:00 | Dobrow Chapter 2: 2, 7, 10, 14, 16 17, 18 20, 21, 22, 26. Solutions |
| Thursday 14/11 15:15 - 17:00 | Dobrow Chapter 3: 2, 5, 9, 14, 18, 22, 30, 35, 38, 41, 46, 64. Solutions |
| Tuesday 19/11 15:15 - 17:00 | Remaining exercises from above. Lecture Notes Chapter 2: Exercise 1 |
| Thursday 21/11 15:15 - 17:00 | Dobrow Chapter 4: 2, 5, 6, 8, 12, 19, 20, 26, 29. Solutions |
| Tuesday 26/11 15:15 - 17:00 | Remaining exercises from above. Lecture Notes Chapter 3: Exercises 1, 2, 3. Solutions |
| Thursday 28/11 15:15 - 17:00 | Dobrow Chapter 5: 2, 4, 5, 6, 8, 9, 17, 18. Solutions |
| Tuesday 3/11 15:15 - 17:00 | Dobrow Chapter 5: 10, 11, 12, 13, 14, 16, 20. Solutions |
| Thursday 5/11 15:15 - 17:00 | Dobrow Chapter 6: 2, 5, 8, 10, 14, 16, 21, 24, 32, 44. Solutions |
| Tuesday 10/11 15:15 - 17:00 | Dobrow Chapter 7: 1, 4, 5, 6, 12, 14. Solutions |
| Thursday 12/11 15:15 - 17:00 | Dobrow Chapter 7: 18, 20, 23, 26, 30, 34, 39. Solutions |
| Tuesday 17/11 15:15 - 17:00 | Dobrow Chapter 8: 1, 2, 6, 9, 16, 18. Solutions |
| Thursday 19/11 15:15 - 17:00 | Review, questions from old exams: 2019-01-16 with solutions, 2019-04-24 with solutions, 2019-08-19 with solutions. |
Course summary:
| Date | Details | Due |
|---|---|---|