Instructor:
Moo K. Chung
E-mail: mchung@stat.wisc.edu
Office: 4382 CS&S Tel:
(608) 262-1287
Lectures: MWF
1:20-2:10pm 1289 COMP S&ST
Office HR WF 2:30-4:30pm.
Requirements: Stat/Math 309-310 or Stat 311-312 and basic
understanding of computer programming. Assignment problems and project
will require computer programming in matlab, S+/R or any other
programming language. Most topics will be self contained.
Textbooks:
Computational Statistics Handbook with MATLAB
Wendy L. Martinez & Angel R. Martinez
Chapman & Hall/CRC, 2002
ISBN 1-58488-229-8
Advanced
statistical computing course notes (300page PDF) by Robert Gray,
2001. This is for Splus/R users. If you are intending to use Splus/R for
submitting homeworks and projects, I recommand you to read it as well
as the textbook.
Topics covered
Data Structure: Vector and matrix data
manipulation. Data input/ouput. Data format.
Statistical graphics: scatter
plots,histograms, quantile-quantile(QQ) plot. visualizing
bivariate data.
Random numbers: probability integral
transform, how to generate random variables, vectors, matrices and
stochastic processes.
Matrix algebra: Singular value
decomposition, Cholesky factorization, Generalized inverse (Psudo
inverse). least-squares estimation.
Monte-Carlo methods: Monte-Carlo
integral, importance sampling, Monte-Carlo inference.
Markov Chains:
random walks, transition probability. Chapman-Kolmogorov equation.
invariant distributions.
Markov chain monte carlo (MCMC): Metropolis-Hastings algorithms. Gibbs sampler.
Bayesian inference. Bayes estimates.
Bootstrap
methods: bootstraping
techniques are introduced for estimation and inference problems.
Monte-Carlo optimization:
maximum likelihood, EM algorithm
Smoothing: bivariate smoothing,
nonparametric regression, cross-validation, kernel density estimation, simulation
of Gaussian processes.
Course Evaluation
There are two options. Assignment 70% + Project 30% or Assignment 50% +
Project 50%.
Assignments (70% or 50%) 5 challenging
homeworks. Half theoretical, half computional.
Project (30% or 50%) Students are
required to submit minimum
10 page (30%) or 15 page (50%) double spaced and typed report
excluding figures and computer codes by the last class day on topics
discussed during the class (projects done in other class will not be
accepted). For gradaute sudents from other department, you can do a
project in your own research area after consultation.
Computer
Access and Softwares
The simplest way to do homeworks and
project would be to creat a computer account for statistics computers in
the department. Statistics computer lab is at the first floor.
Homeworks
homework 01
homework 02
homework 03
homework 04
homework 05
homework 06