STATISTICAL DATA ANALYSIS
博士前期課程理工学研究科 - 理工学専攻
MSGR7260
コース情報
担当教員: 木村 晃敏
単位数: 2
年度: 2024
学期: 秋学期
曜限: 火3
形式: 対面授業
レベル: 500
アクティブラーニング: なし
他学部履修: 不可
評価方法
リアクションペーパー
レポート
詳細情報
概要
This course covers topics of R programming, time series data handling, simulation and numerical analysis for several types of statistical models with YUIMA package. R package called YUIMA is for estimation and simulation of Stochastic Differential Equations and other Stochastic Processes. For students who wish to register this course, basic knowledge of linear algebra, elementary calculus, probability, and statistics is necessary.
目標
This course aims at introducing several aspects of modern numerical and statistical analysis of time series through the R language and, in particular, the YUIMA package.
授業外の学習
Students are required to review the exercises and review the lectures (190 minutes for each class). It is strongly recommended to have excersises with YUIMA.
所要時間: At least 190 minutes
スケジュール
- Guidance and Introductioin *The schedule is subject to change.
- "R" and "RStudio"
- "YUIMA" 1
- "YUIMA" 2
- "YUIMA" 3
- Diffusion Processes 1
- Diffusion Processes 2
- Diffusion Processes 3
- Compound Poisson Processes 1
- Compound Poisson Processes 2
- Compound Poisson Processes 3
- Stochastic Differential Equation Driven by Levy Processes 1
- Stochastic Differential Equation Driven by Levy Processes 2
- Stochastic Differential Equation Driven by Levy Processes 3
教科書
Stefano M. Iacus and Nakahiro Yoshida, "Simulation and Inference for Stochastic Processes with YUIMA. A Comprehensive R Framework for SDEs and Other Stochastic Processes", Springer, 2018.
参考書
書籍情報はありません。