STAT 633: Statistical Computing
Spring 2021
Time & Place: 4:00-5:15pm TTh via Blackboard
Office Hours: 3:00-4:00pm TTh via WebEx or by appointment
Textbooks (not required):
Computational Statistics, 2nd edition. (2013), by Geof H. Givens and Jennifer A. Hoeting.
Monte Carlo Statistical Methods,, 2nd edition. (2010), by Christian P. Robert and George Casella.
Statisical Computing with R, 2nd edition. (2019), by Maria L. Rizzo.
Lectures:
- Tue., Jan. 26: Syllabus, introduction to STAT 633, preliminary test.
- Thur., Jan. 28: Convergence rate, Newton-Raphson.
- Tue., Feb. 2: Secant method, bisection method, fixed-point method, introduction to optimization.
- Thur., Feb. 4: Optimization.
- Tue., Feb. 9: Newton-like methods, Gauss-Newton, numerical integration.
- Thur., Feb. 11: Numerical integration, EM algorithm.
- Tue., Feb. 16: EM algorithm.
- Thur., Feb. 18: EM algorithm.
- Tue., Feb. 23: SEM, Louis's method.
- Thur., Feb. 25: Generating random numbers.
- Tue., Mar. 2: Accept-Reject method, Adaptive Rejection Sampling (ARS).
- Thur., Mar. 4: Covariance matrix estimation, Monte Carlo Integration.
- Tue., Mar. 9: Monte Carlo Optimization.
- Thur., Mar. 11: Variance reduction techniques.
- Tue., Mar. 16: No Class (Spring Break)
- Thur., Mar. 18: No Class (Spring Break)
- Tue., Mar. 23: Monte Carlo Infernce. Proposal for course project due.
- Thur., Mar. 25: Bootstrap and Jackknife. Midterm exam posted.
- Tue., Mar. 30: No class. Midterm exam due.
- Thur., Apr. 1: Bootstrap and Jackknife cont'd.
- Tue., Apr. 6: Permutation test, Markov Chains.
- Thur., Apr. 8: Markov Chains.
- Tue., Apr. 13: Gibbs Sampler.
- Thur., Apr. 15: Bayesian analysis and Gibbs sampler--Normal model
- Tue., Apr. 20: Change-of-point dectection.
- Thur., Apr. 22: Probit/Logisitic model
- Tue., Apr. 27: Metropolis-Hastings sampler
- Thur., Apr. 29: Diagnosis of Metropolis-Hastings sampler.
- Tue., Mar. 4: Presentation for the course project.
- Thur., Mar. 6: Presentation for the course project.
- Tue., Mar. 11: Presentation for the course project, review.
Exams:
- Midterm:
Due 5:30pm Tuesday, March 30.
- Final:
Due 5:30pm Thursday, May 13.
Project:
- Proposal: Due Tuesday, March 23.
- Final report: Due Thursday, April 29.
- Presenation schedules (TBA):
- Thur., May 4: Vahid Andalib, Ji Li
- Tue., May 6: Mothupi Mothupi, Tylynn Pettrey
- Thur., May 11: Udayan Sethuramalingam, Jacob Gould
- Papers' list that may be chosen for your project.
Homework Assignments:
- Homework 1 (due: 12:00pm on Feb. 16)
- Homework 2 (due: 12:00pm on Mar. 2)
- Homework 3 (due: 12:00pm on Mar. 11)
- Homework 4 (due: 12:00pm on Apr. 13)
- Homework 5 (due: 12:00pm on Apr. 27)
Links