A mini-course 'Computational methods of stochastics' Professor D.Belomestny

On 6, 13 and 20 March, Professor Denis Belomestny (HSE, Russia and University of Duisburg-Essen, Germany) delivered the mini-course, 'Computational methods of stochastics'

Course programme:

1. Introduction

2. ARMA processes

3. Elementary properties of stationary processes

4. Prediction

5. Spectral methods

6. Estimates of ARMA models

 

7. Non-linear models

 

8. Diffusion processes

9. Levy Processes

10. Statistical analysis of Levy processes