Computational Statistics, STP 540, Fall 2019
Course Information
Instructor/TA:
Instructor: Robert McCulloch, robert.mcculloch@asu.edu
office: Wexler 528
TA: 494: Xuetao Lu, xuetaolu@asu.edu
Time and Place:
STP 540, Computational Statistics
T Th 12:00 PM 1:15 PM Tempe - WXLR A103 08/22 - 12/06
Syllabus
Syllabus
Office hours: Thursday, 4:30-5:30, Wexler 528."
Suggested Projects
final due date: 9am, December 12.
Mixture Modeling with EM and MCMC
Inference for the parameters of a Gaussian Process
Monte Carlo EM
Homework
Here are instructions for how to submit homework using canvas: how to submit homework
Make sure you include each group members name clearly and whether they are registered
for 494 or 598.
Homework 1, due September 17: Homework 1
Homework 2, due October 8: Homework 2
Robs rough code for problem 4
Homework 3, due November 7: Homework 3
Notes
The Multivariate Normal and the Choleski and Eigen Decompositions
Look at cholesky and spectral in R
The EM Algorithm
See Chapter 4 of Givens and Hoeting.
Monte Carlo
See Chapter 6 of Givens and Hoeting.
Geweke paper
R script to try various truncated normal draws
R script to try various importance sampling approaches for prior sensitivity
Prior based on odds ratio
SIR R script
Introduction to Bayesian Statistics:
Introduction to Bayesian Statistics and the Beta/Bernoulli Inference
Normal Mean Given Standard Deviation
Normal Standard Deviation Given Mean
Introduction to Bayesian Regression
MCMC: Markov Chain Monte Carlo,
See Chapter 7 of Givens and Hoeting.
Markov Chains
Simple Example of a Markov Chain
Gibbs Sampling
Note: Hoff refers to ``A First Course in Bayesian Statistical Methods'', by Peter Hoff
Reversable Markov Chains
The Metropolis Algorithm
State Space Models and FFBS
Hotels Problem
intro to state space models
FFBS
R code for hotels example
Forward Filtering for Simple Hotels model
The Bootstrap (Efron and Hastie, chapters 10 and 11)
The Bootstrap
A Little Optimization (Givens and Hoeting 2.2.2)
A Littel Optimization
R and Python
Information on R
Information on Python