IT, data og digitalisering

Computational Statistics

Beskrivelse

The course gives the student a thorough introduction to computational finance which contains following subjects:
- Maximum-likelihood and numerical optimization
- The EM-algorithm.
- Simulation algorithms and Monte Carlo methods.
- Univariate and multivariate smoothing.
- Numerical linear algebra in statistics. Sparse and structured matrices.
- Practical implementation of statistical computations and algorithms.
- R/C/C++ and RStudio statistical software development.

The student will be able to:
- implement, test, debug, benchmark, profile and optimize statistical software.
- select appropriate numerical algorithms for statistical computations
- evaluate implementations in terms of correctness, robustness, accuracy and memory and speed efficiency.

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Det praktiske

  • Kursusudbyder: Københavns Universitet
  • Undervisningssprog: Engelsk
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