Time Series Analysis and Stochastic Processes

Title Time Series Analysis and Stochastic Processes (58020)
Quarter Summer 2016
Instructor Andrew Siegel (siegela@uchicago.edu)
Website

Syllabus ****MAKE-UP CLASS SESSION FOR 4TH OF JULY HOLIDAY***
Class will meet on Friday, July 1st from 5:30pm to 8:30pm in Young 302.  



*Please note: This is the syllabus from the 2015/16 edition of this course. Information is subject to change.*

Course Description

Stochastic processes are driven by random events. They can be used to model phenomena in a broad range of disciplines, including science/engineering (e.g. computational physics, chemistry, and biology), business/finance (e.g. investment models and operations research), and computer systems (e.g. client/server workloads and resilience modeling). In many cases relatively simple stochastic simulations can provide estimates for problems that are difficult or impossible to model with closed-form equations. In this class we focus on the rudimentary ideas and techniques that underlie stochastic time series analysis, discrete events modeling, and Monte Carlo simulations. Course lectures will focus on the basic principles of probability theory, their efficient implementation on modern computers, and examples of their application to real world problems. Upon completion of the course, students should have an adequate background to quickly learn in depth specific Monte Carlo approaches in their chosen field of interest.

 

Textbooks

  • Required

    • Robert H. Shumway, David S. Stoffer. Time Series Analysis and Its Applications, EZ – Third Edition. Free Texts in Statistics, 2015. Available for free at http://www.stat.pitt.edu/stoffer/tsa3/

    • Sheldon M. Ross. Simulation. Elsevier, 2013

  • Optional

    • Press, Numerical Recipes

    • Knuth, Algorithms vol 2

 

Course Contents

  • Class 1: Simulating ARIMA time series, Shumway Chapters 2 and 3

  • Class 2: Principal component analysis and single value decomposition

  • Class 3: Spectral analysis including Fourier transforms, Shumway Chapter 4, Press Chapters 12 and 13

  • Class 4: Coding and validating RNGs, simulating random variables, Ross Chapters 3, 4, and 5, Knuth Chapter 2, Press Chapter 7

  • Class 5: Simulating discrete events, Ross Chapter 6

  • Class 6: Monte Carlo integration w/variance reduction, Ross Chapter 8

  • Class 7: Markov Chain Monte Carlo (Hastings-Metropolis, Gibbs Sampler), Ross Chapter 10

  • Classes 8 and 9: Applications of Monte Carlo including:

    • Particle transport

    • Chemical kintetics (Gillespie algorithm)

    • Solving integral equations with Markov Chain Monte Carlo

 

Coursework

4 or 5 biweekly homework assignments. Weekly readings. No exams.

 

Prerequisites

  • Courses: Required: Immersion programming or waiver. Recommended: Immersion math.

  • Languages: Required: familiarity with C/C++, Python, or Java (other language options are acceptable, but consult instructor first). Recommended: C and Python.

Prerequisites (Courses)

Core Programming

Prerequisites (Other)

Non-MPCS students need to complete a course request form.

Satisfies

Elective
High-Performance Computing Specialization

Time

Mondays 5:30-8:30 PM

Location

Young 302