Related papers: Stochastic Analysis Seminar on Filtering Theory
The traditional theoretical statistics course which develops the theoretical underpinnings of the discipline (usually following a probability course) is undergoing near-continuous revision in the statistics community. In particular, recent…
These are lecture notes that are based on the lectures from a class I taught on the topic of Randomized Linear Algebra (RLA) at UC Berkeley during the Fall 2013 semester.
This is an overview of the area of Stochastic Portfolio Theory, and can be seen as an updated and extended version of the survey paper by Fernholz and Karatzas (Handbook of Numerical Analysis Vol.15:89-167, 2009).
These notes were originally prepared as additional material for the lessons I have given at the summer school Gamma-ray Astrophysics and Multifrequency: Data analysis and astroparticle problems, organized by the Department of Physics of the…
Lecture given Friday 7 April 1995 at the Santa Fe Institute, Santa Fe, New Mexico. The lecture was videotaped; this is an edited transcript.
This book covers a wide range of problems involving the applications of stochastic processes, stochastic calculus, large deviation theory, group representation theory and quantum statistics to diverse fields in dynamical systems,…
Data analysis is a powerful tool in all experimental sciences. Statistical methods, such as sampling theory, computer technologies necessary for handling large amounts of data, skill in analysing information contained in different types of…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Theoretical analyses of stochastic search algorithms, albeit few, have always existed since these algorithms became popular. Starting in the nineties a systematic approach to analyse the performance of stochastic search heuristics has been…
This document collects the lecture notes from my course "Communication Complexity (for Algorithm Designers),'' taught at Stanford in the winter quarter of 2015. The two primary goals of the course are: 1. Learn several canonical problems…
This article contains the lecture notes for the short course ``Introduction to Econophysics,'' delivered at the II Brazilian School on Statistical Mechanics, held in Sao Carlos, Brazil, in February 2004. The main goal of the present notes…
These are lecture notes written at the University of Zurich during spring 2014 and spring 2015. The first part of the notes gives an introduction to probability theory. It explains the notion of random events and random variables,…
The paper addresses general aspects of experimental data analysis, dealing with the separation of ``signal vs. background''. It consists of two parts. Part I is a tutorial on statistical event classification, Bayesian inference, and test…
The Statistics Consortium at the University of Maryland, College Park, hosted a two-day workshop on Bayesian Methods that Frequentists Should Know during April 30--May 1, 2008. The event was co-sponsored by the Institute of Mathematical…
Deep learning algorithms have made incredible strides in the past decade, yet due to their complexity, the science of deep learning remains in its early stages. Being an experimentally driven field, it is natural to seek a theory of deep…
Presentation for a talk "Two betting strategies that predict all compressible sequences" given at Seventh International Conference on Computability, Complexity and Randomness (CCR 2012)…
This document is an internet supplement to my book "Partially Observed Markov Decision Processes - From Filtering to Controlled Sensing" published by Cambridge University Press in 2016. This internet supplement contains exercises, examples…
This is a lecture notes for a mini-course in Department of Mathematics, Ghent University, 14 Mar.-25 Mar. 2023.
This material complements David Chandler's Introduction to Modern Statistical Mechanics (Oxford University Press, 1987) in a graduate-level, one-semester course I teach in the Department of Chemistry at Duke University. Students enter this…
These lecture notes are based on lectures given in 2019 Saint-Flour Probability School.