Advanced Statistical Methods

This course introduces the main notions, approaches, and methods of nonparametric statistics. The main topics include smoothing and regularization, model selection and parameter tuning, structural inference, efficiency and rate efficiency, local and sieve parametric approaches. The study is mainly limited to regression and density models. The topics of this course form an essential basis for working with complex data structures using modern statistical tools.

Instructor: Vladimir Spokoiny

Instructor assistants: Alexander Podkopaev, Igor Silin, Nikita Puchkin

 

Location: the course will be held at the HSE faculty of Computer Science (3 Kochnovsky Proezd building 1).

9 April – room 317

10 and 16 April – room 205

17 April – room 509

Time: 15:10 – 18:00 (13:40 – 16:30 on 9 April)

 

All lecture materials can be found in script2018.

If you have any questions about the course, please, write to asmcourse2018@gmail.com.

 

Final grades (upd 22.05): asm_grades_final

 

Project defense and mid-term assessment

The PROJECT defense and MID-TERM ASSESSMENT will take place on April 23 at room 513.

We split the students with PROJECTS into 4 groups: the first should arrive at 3pm, the second – at 4 pm, the third – at 6 pm, the fourth – at 7 pm. Between 5:30pm and 6 pm we plan to have a break.

Division in groups is as follows:

3pm:
De la Fuente
Demidova
Goncharov
Kaledin
Kuzina
Nekrashevich

4pm:
Kemaev
Likhosherstov
Nikishin
Pavlovskaya

6pm:
Alanov
Dvinskikh
Tobar
Salnikov
Yakhlakov

7pm:
Kuznetsov
Shumovskaya
Shysheya

The MID-TERM ASSESSMENT will start at 3pm for everyone.
It will consist of 2 random questions from the program that you prepare from 3pm till 3:45pm. During the preparation you are allowed to use your hand-written lecture notes (no computers permitted!). After you completed the preparation, there will be a short talk with TA during which some additional questions may be asked.

The list of students who (we assume) will take the MID-TERM ASSESSMENT:

Anokhin
Babatunde
Chizhov
Gomtsyan
Goncharov
Ivanova
Novitskiy
Pavlovskaya
Samsonov
Shagadatov

Even if you have picked the PROJECT option, but decided to have the MID-TERM ASSESSMENT instead, you are allowed to do that, but please inform us by writing an e-mail.
If you are not going to take the MID-TERM ASSESSMENT, there is no need to inform us.

Students which were automatically graded with the last years grades are not expected to come:

Abramov
Burova
Demchenko
Dryomov
Esimova
Gaini
Kirov
Kulchitskiy
Melnikov
Pavlov
Provatorova
Sabirova
Tavyrikov
Zamaletdinova
Zhulikov

Projects

All of you have an option to complete a project. Description of projects and grading criteria are available here and here respectively.  You have to implement and test one of methods discussed on lectures and seminars. If you want to take a project, please, follow the link and choose one of proposed options. For example, if you want to implement the first method (URE), use approximation of the type 2 (piecewise linear) and check the quality of the procedure with respect to the target 3 (integral), then choose the option M1+F2+T3. Project reports should be presented during the final exam.  

 

Homework 1 (deadline: February 20, Tuesday, 18:10)

Complete exercises 1.2.1, 1.2.2, 1.2.3, 1.4.1, 1.4.2, 1.4.4, 1.4.6, 1.4.7 from the script.

Format: send a latex-based PDF to asmcourse2018@gmail.com or bring a hand-written document to the lecture. PDF scans of hand-written documents will not be accepted.

 

Homework 2 (deadline: February 26, Monday, 18:10)

Complete exercises 5.2.1 – 5.2.4, 5.4.1 – 5.4.4 from the script.

Format: send a latex-based PDF to asmcourse2018@gmail.com or bring a hand-written document to the lecture. PDF scans of hand-written documents will not be accepted.

Remark 1. In the exercise 5.2.2 consider only the basis functions for m, m’ from 0 to n-1.

Remark 2. In the exercise 5.2.3 consider the sum from -n+1 to n in the discrete case. In the continuous case consider the integral from 0 to 1.

 

Homework 3 (deadline: April 17, Tuesday, 15:10)

Complete exercises 2.2.1, 2.5.1, 2.5.2, 2.5.5, 2.5.6, 2.5.7, 9.1.2, 9.2.1 from the script.

Format: send a latex-based PDF to asmcourse2018@gmail.com or bring a hand-written document to the lecture. PDF scans of hand-written documents will not be accepted.