Slides#
Slides can be found below. I will try to upload them before the lecture (handout version with questions/mini-quizzes excluded).
Please download the slides and open it with Adobe Acrobat if you want to see the animations (activates when you click). They won’t run on your browser.
Lecture 1 (13/11/2023): Introduction to Monte Carlo, Rejection Sampling, Importance Sampling [PDF]
Lecture 2 (20/11/2023): Markov chain Monte Carlo [PDF]
Lecture 3 (27/11/2023): Introduction to stochastic filtering, smoothing, and particle filters [PDF]
Lecture 4 (04/12/2023): Particle filters and smoothers, parameter estimation in SSMs [PDF]
Lecture 5 (11/12/2023): Bayesian estimation in SSMs, theory of particle filters [PDF]
## Other Resources