Moo K. Chung
Office: 4382 CS&S Tel: (608) 262-1287
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.
Computational Statistics Handbook with MATLAB
Wendy L. Martinez & Angel R. Martinez
Chapman & Hall/CRC, 2002
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.
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.
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.
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.