| Prof: | Robert L. Wolpert | wolpert@stat.duke.edu | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| TA: | Anjishnu Banerjee | ab229@stat.duke.edu | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class: | Tue/Thu 10:05-11:20 | Perkins LINK 2-071 #5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Week | Topic | Readings |
|---|---|---|
| 1. Foundations | ||
| Jan 12 | Intro & Wiener Process | Einstein 1905 in English or original German |
| Jan 17-19 | L2 Sobolev & Brownian Bridge | Covariance Notes (pp 13-15) |
| Jan 24-26 | O-U, SDEs & Itô's Formula | Brownian Motion Notes |
| Jan 31-02 | Isotropic Covariance in Rn | Covariance Notes (pp 1-12), GP Notes |
| Feb 07-09 | Lévy Processes | Lévy Notes |
| Feb 14-16 | ILM & Truncation Constructions | Lévy Notes |
| Feb 21-23 | Compensation & Error Bounds | Lévy Notes |
| Feb 28-01 | Martingales & Models | Mod/Comp Notes |
| Mar 06-08 | Spring Break | |
| Mar 13-15 | Simulating Posterior Dist'ns | RJ-MCMC Notes |
| Mar 20-22 | Multivariate α-Stable | MV α-Stable Notes |
| Mar 27-29 | Extremes | Extremes Notes |
| Apr 03-05 | SIAM/ASA Meeting | |
| Apr 10-12 | More on extremes | L+T96, L+T97, R02 |
| Apr 17 | topic | reading |
| Apr 19 | Conference in RTP: | Long-Range Dep., Self-Sim. & Heavy Tails |
Topics mentioned in course blurb were: