Advanced Statistical Computing

Credits 3 credit points
Audience Master Statistical Science
Lecturer Richard Gill.
E-mail: gill at math.leidenuniv.nl
Period First half, Autumn semester, 2013
Hours 2013 t.b.a.
Aim Introduction to a miscellany of more advanced and/or computer intensive statistical methods, emphasis on "how to do it in R", introduction to "computational statistics"
Form Lectures and (computer) assignments
Description Simulation of random variables
Sampling distributions and power functions
Visualization, Monte Carlo Integration
Bootstrap
Numerical algorithms
Resources Slides (see below)
Book: Statistical computing with R, by Maria L. Rizzo, Chapman and Hall. Notice author's book webpage with R scripts download, errata.
Blackboard: see especially Announcements, Content and Information on Blackboard. It is obligatory to sign up to the course in both uSis and Blackboard.
Extra handout (others on Blackboard): HMM.pdf
Assessment By weekly reports (2/3 of final grade) and final exam (1/3 of final grade).
Requirements "Statistical computing with R" (which course is actually an introduction to computer programming, and simultaneously an introduction to the R computing language, both with an eye towards applications in statistics)
Language    The open-source, free, statistical package R can be downloaded from the R-project site www.r-project.org . You might find one of the many more sophisticated graphical user interfaces, such as RStudio, also useful.
Assignments Weekly. Hand in a short report at the beginning of next week (i.e.: before the next lecture!).

Program Fall 2012 (will be modified for 2013)

Week     Reading Material slides Assignment R scripts, etc.
1 Rizzo: Chapter 3.1-3.5     week1.pdf.     Warm-up exercises RScriptLecture1Pt1.R, RScriptLecture1Pt2.R
1b     "     No lecture     Assignment One
2 Rizzo: Chapter 6.1-6.3, 8.1-8.2     week2.pdf    Assignment Two RScriptLecture2.R
3 Rizzo: Chapter 4.2-4.4, 5.4, 5.6     week3.pdf, visualization.R    Assignment Three. Rizzo Exercises 4.3, 4.4, 4.5, 5.14.
4 Rizzo: Chapter 11.1, 11.2, 11.4, 11.5, 11.6     week4.pdf Assignment Four RScriptLecture4.R
5 Rizzo: Chapter 11.7, Handout HMM     week5.pdf Assignment Five with data Xmix RScriptLecture5.R
6 this year Rizzo: Chapter 7.4 bootstrap.R
6 last year Rizzo: Chapter 11.3, 11.8     week6.pdf Assignment Six with assets.txt, qrdata.txt


DATA FOR EXAM 2012 migraine.txt cgh.txt