MTH U581 - Statistics and Stochastic Processes.

Summer 2005

Course Information

Course:	MTH U581 Statistics and Stochastic Processes.
Instructor:	Mikhail Malioutov
Time and Place:	M,Tu.,W and Th. 8.00-9.40 a.m. in 325 SH
Office Hours:	M,W 12:30 pm -1:30 p.m.
Textbook, grading and prerequisites:	syllabus

Course Description

This course continues MTH U481 by introducing more advanced topics of Statistics and more general relation between successive trials, namely Markov Chains and Hidden Markov Models.
Preliminary Syllabus (subject to possible corrections): week 1. Brief review of Probability. Moment generating functions: Ch. 10 of GNU book. week 2-4. Random Walks and Markov Chains, Chapter 11-12 of GNU book. week 5. Hidden Markov Models (HMM). Most probable path and estimation of parameters (BSA). weeks 6 (IT option). Equipartition, compression and information transmission (CT). weeks 7 (IT option). Method of types, gambling and hypotheses testing (CT).

Homeworks

HW 1 - see the syllabus
HW 2

Department of Mathematics	Office:	545 Lake Hall
Northeastern University	Phone:	(617) 373-5650
Boston, MA, 02115	Email:	mltv@neu.edu

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