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Overview

Current information:

This item will be continuously updated during the course.

• (7/1) A preliminary course schedule is now presented below.
• (22/1) The course has now started and the slides from the first lecture (containing also some additional course information) are now available under the link below.
• (25/1) The slides of the second lecture are now availble under the link below. The rejection sampling method will be verified at the beginning of the next lecture.
• (29/1) It is now possible to sign up for the first computer session. This is done by clicking here.
• (29/1) The practical part of the course has now started and the first home assignment is available under the link below. Some guidelines for report writing are found here.
• (5/2) It is now possible to sign up for the second computer session. This is done by clicking here.
• (12/2) It is now possible to sign up for the third computer session. This is done by clicking here.
• (12/2) The first half of the questions for the oral exam are now available here.
• (19/2) It is now possible to sign up for the fourth computer session. This is done by clicking here.
• (22/2) The reports of HA1 are now marked. The marked reports can be viewed during the office hour (15.30-16.30) today or later on request to Maria Lövgren (MH:127).
• (26/2) It is now possible to sign up for the fifth computer session. This is done by clicking here. Note that there will be only one supervisor during the Wednesday session. Here you find the data files coal_mine.txt and atlantic.txt and the estimation procedure est_gumbel.m.
• (5/3) It is now possible to sign up for the sixth computer session. This is done by clicking here.
• (8/3) The questions for the oral exam are now available here. Good luck with the cramming!
• (8/3) It is now possible to sign up for the oral. For the time slots on Tuesday (08.00-11.30), Wednesday (the whole day), and Thursday (08.00-11.30), the exam takes place in MH:227; for all other time slots the exam takes place in MH:330. All students may sign up for the oral, but note that you need to have passed ALL projects in order to be able to take the same. The oral takes 15 minutes and during this time you should be ready to respond - actively! - to one of two randomly chosen questions from the list found under the link above. The results of HA3 will be posted on this page on Monday 18/3.
• (18/3) HA3 is now marked! The results are found here. The marked reports can be viewed on request to Maria Lövgren (MH:127).

Lectures:

Tuesdays 15-17, E:C
Fridays 8-10, E:C

Computer exercises:

Wednesdays 13-15, MH:140, MH:144
or
Thursdays 8-10, MH:140, MH:144

For those of you who are new to matlab:
Introduktion till Matlab (in Swedish)
Introduction to Matlab (Mathworks)
Matlab to R reference

Office hours:

Friday 15:30-16:30, MH:317, MH:327A

Examination

Three home assignments/projects and an oral exam after the last project.
The assignments will be handed out during the 2nd, 4th, and 6th course week.

Schedule

Day				Lectures (chapters in the book)	Home assignments	PDF
v1	Tue	22/1	L1	Introduction, the Monte Carlo (MC) method (4)		pdf
	Fri	25/1	L2	MC (cont.), Random number generation (2-3)		pdf
v2	Tue	29/1	L3	MC (cont.), random number generation (cont.)	HA1 out (pdf)	pdf
	Wed	30/1	C1
	Thu	31/1	C1
	Fri	1/2	L4	Random number generation (cont.), variance reduction		pdf
v3	Tue	5/2	L5	Sequential Monte Carlo (SMC) methods		pdf
	Wed	6/2	C2
	Thu	7/2	C2
	Fri	8/2	L6	SMC methods (cont.)		pdf
v4	Tue	12/2	L7	SMC methods (cont.) A key paper on SMC: Gordon et al. (1993)	HA1 in (12/2 15:00) HA2 out (pdf)	pdf
	Wed	13/2	C3
	Thu	14/2	C3
	Fri	15/2	L8	Markov chain Monte Carlo (MCMC) (5.1,5.3,5.5-6) Two key papers on MCMC: Metropolis et al. (1953) Hastings (1970)		pdf
v5	Tue	19/2	L9	MCMC (5.2,5.7)		pdf
	Wed	20/2	C4
	Thu	21/2	C4
	Fri	22/2	L10	MCMC (5.3-4)		pdf
v6	Tue	26/2	L11	Stochastic modelling and Bayesian inference (6.1,10.1), MCMC for Bayesian computation (10.2-3,11)	HA2 in (26/2 15:00) HA3 out (pdf)	pdf
	Wed	27/2	C5
	Thu	28/2	C5
	Fri	1/3	L12	Statistical models (6), bootstrap (7)		pdf
v7	Tue	5/3	L13	Bootstrap (cont.) A leisurely look at the Bootstrap, the Jackknife, and Cross-Validation (1983)		pdf
	Wed	6/3	C6
	Thu	7/3	C6
	Fri	8/3	L14	Permutation tests (8), summary		pdf
v8	Tue	12/3			HA3 in (12/3 15:00)

Literature

M. Sköld, Computer Intensive Statistical Methods and some additional handouts.
The book is available from the Department for Mathematical Statistics and can be purchased from me at the first lecture. The price is 200 SEK.

Some known misprints in the course book can be found in the Errata.

The above book is the only one needed for the course.
However if you wish to explore other literature some good options are:

Monte Carlo

• Markov Chain Monte Carlo in Practice, Gilks, Richardson and Spiegelhalter, 1996
• Monte Carlo Statistical Methods, Robert and Casella, 2005

Bootstrap

• Bootstrap Methods and Their Application, Davison and Hinkley, 1997
• An Introduction to the Bootstrap, Efron and Tibshirani, 1994

People

Course administrator/lecturer:

Jimmy Olsson
room: MH:317
phone: 046-222 85 52
e-mail: jimmy@maths.lth.se

Computer exercises:

Jonas Wallin
room MH:327A
phone: 046-222 45 80
e-mail: wallin@maths.lth.se