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: Sergey Samsonov, Nikita Puchkin

 

Venue: room E-R2-B5-3006, Skolkovo Institute of Science and Technology, Bolshoy Boulevard 30, bld. 1 Moscow, Russia 121205

Schedule:

February: 11.02, 14.02, 18.02, 21.02, 25.02, 28.02; April: 8.04, 11.04

16:00 – 17:30 lecture

17:30 – 19:00 seminar

All lecture materials can be found in the script (v. 25.02).

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

 

Projects

All of you have an option to complete a project. Those students who pass the project successfully, obtain the highest grade  for the exam. The detailed project description is given here. The project defense will take place in the beginning of April, the exact time and place will be specified later. To choose the project, follow the link

 

Homework 1 (deadline: February 14, Thursday, 16:00)

Complete exercises 1.2.3, 1.3.1, 1.4.4 and 1.4.6 from the script.

Format: send a Word/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 18, Monday, 16:00)

Complete exercises 1.4.5, 1.4.7, 1.6.1 and 1.6.3 from the script.

Format: send a Word/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 3 (deadline: February 21, Thursday, 16:00)

Complete exercises 4.2.2, 4.2.3, 4.3.3 and 4.3.5 from the script.

Format: send a Word/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 4 (deadline: February 25, Monday, 16:00)

Complete exercises 4.5.1, 5.2.2, 5.4.1 and 5.4.2 from the script.

Format: send a Word/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 5 (deadline: February 28, Thursday, 16:00)

Complete exercises 5.4.5, 6.4.1, 6.4.2 and 6.4.3 from the script.

Format: send a Word/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 6 (deadline: March 15, Friday, 23:59)

Complete exercises 9.1.1, 9.1.2, 9.1.3 and 9.2.1 from the script.

Format: send a Word/LaTeX-based PDF to asmcourse2018@gmail.com. PDF scans of hand-written documents will not be accepted.