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Lecture Notes By Topic¶
These notes are intended for my students and are a synthesis of numerous sources including:
- Bayesian Data Analyis, 3rd Edition (Gelmen et al.)
- Conteporary Bayesian Econometrics and Statistics (Geweke)
- Series of blog posts
- Selected lecture notes by Patrick Lam (http://www.patricklam.org/)
Of course, all errors are my own.
Preliminaries and Review¶
Please install Anaconda Python following these instructions.
- Maximum Likelihood (from ECON407).
- Python Numpy Linear Algebra
- Python Pandas Basics
- Python Statistical Functions in Scipy Basics.
Bayesian Statistics and Python¶
- Sampling Methods and Frequentist Statistics
- Introduction to Bayesian Statistics
- Bayes Rule and Monte Carlo Markov Chains
- Properties of MCMC
- Convergence Diagnostics
- Introduction to PyMC3
- Sampling Methods
- Heirarchical Models
- Multinomial Probit
- Time Series Applications
- Switching Models
- Time Series Models