Bayesian methods are becoming more and more popular, mainly thanks to modern algorithms and increasing computer power, as tools for statistical modeling and inference. This course will introduce the Bayesian philosophy of statistical modeling and important algorithms, e.g. Monte-Carlo sampling and variational methods, which will be illustrated on several examples from finance and econometrics.
QiS/LSF Entry
Further material, e.g. lecture slides, data sets, will be made available here.
Material:
April 27: Lecture slides PDF
May 4: Lecture slides PDF
May 11: Lecture slides PDF + accompanying R code
May 18: Lecture slides PDF + accompanying Python code
Interactive Visualization R code ... to run it start R and then load it with source("shinyLR.R", echo=TRUE)
June 1: Lecture notes PDF + Jupyter Notebook
June 29: Lecture notes HTML + R markdown
June 13: Lecture notes HTML + R markdown
July 20:Lecture slides PDF + accompanying R code
Lecture slides PDF
Lecture notes HTML + R markdown
Note: There will be an additional lecture from 14 to 16 o'clock in room 4.106