ADVANCED STATISTICAL COMPUTING

Credits 3 credit points
Audience Master Statistical Science
Lecturer Prof.dr. Aad van der Vaart.
E-mail: avdvaart at math.leidenuniv.nl
Period September 3 - October 8.
Hours 2012 Mondays 11.15- 15.30, MI 409.
Aim An introduction to statistical computing.
Form Lectures and (computer) assignments.
Description Simulation of random variables.
Sampling distributions and power functions. .
Visualization, Monte Carlo Integration..
Bootstrap.
Numerical algorithms.
Literature
Assessment By weekly reports (2/3 of final grade) and final exam (1/3 of final grade).
Requirements
Computer language    The statistical package R can be downloaded from the R-project site www.r-project.org . It is free!
Assignments Weekly. Hand in a short report at the beginning of next week (unless asked otherwise).

Program Fall 2012

Week     Reading Material slides Assignment
1 Rizzo: Chapter 3.1-3.5     One.     One (homework, need not be handed in)
2 Rizzo: Chapter 6.1-6.3, 8.1-8.2     Two    Two
3 Rizzo: Chapter 4.2-4.4, 5.4, 5.6     visualization , mcinteg.pdf    Rizzo: Exercises 4.3, 4.4, 4.5, 5.14.
4 Rizzo: Chapter 11.1, 11.2, 11.4, 11.5, 11.6    optim.pdf Four
5 Rizzo: Chapter 11.7, Handout HMM    EM.pdf Five with data Xmix
6 Rizzo: Chapter 11.3, 11.8    week6.pdf Six with assets.txt, qrdata.txt


DATA FOR EXAM 2012 migraine.txt cgh.txt