Welcome to CSI 771

Computational Statistics

Instructor: James Gentle

Fall, 1998

Topics to be covered include
  • Monte Carlo studies in statistics
  • Graphical methods in computational statistics
  • Nonparametric probability density estimation
  • Statistical models and data fitting
  • Data partitioning and resampling

    PostScript versions of some of the lectures, ASCII files of data, and other files will be available online.

    The text is Computational Statistics . The bibliography for this text is available in PostScript.

    Student work in the course (and the relative weighting of this work in the overall grade) will consist of

  • a number of small assignments, problems, etc. (15)
  • a semester project to replicate and extend a published Monte Carlo study (30)
  • an in-class midterm (25)
  • a final exam consisting of an in-class component and a take-home component (30)

    Each student will prepare a Web page for presentation of the project and for some of the smaller assignments.

    September 1

    Course overview; method of communication
    Computer organization: Unix and basic tools; S-Plus
    Computational statistics
    Monte Carlo studies

    September 8

    Discussion of Monte Carlo studies; Student presentations of descriptions of articles (first project milestone)
    Random number generation in S-Plus
    Monte Carlo methods for statistical inference

    September 15

    Discussion of projects if necessary (second project milestone)
    Data partitioning: cross validation; jackknife

    September 22

    Student presentations of plans for projects (third project milestone)
    Bootstrap methods

    September 29

    Bootstrap methods

    October 6

    Bootstrap methods

    October 13

    Columbus Day holiday (no class)
    Notes (Postscript) See the exercises.

    October 20

    Midterm (in class)

    October 27

    Student presentations of Monte Carlo studies (fourth project milestone)
    Assignment: Use sample of gamma data as data for the questions on the test. Compute estimates or perform tests for questions, 1, 2, 4, and 5.

    November 3

    Markov chain Monte Carlo notes (PostScript)
    Assignment

    November 10

    Student reviews of Monte Carlo studies (fifth project milestone)
    Markov chain Monte Carlo

    November 17

    Probability density estimation Assignment

    November 24

    Probability density estimation
    Graphical displays, grand tour

    December 1

    Student final presentations of Monte Carlo studies (sixth project milestone)

    December 8

    Statistical model building
    Transformations to fit models
    Handout take-home portion of final exam (PostScript)

    December 15

    Take-home portion of final exam due
    In-class portion of final exam

    Computational Resources

    Labs with Unix workstations are available for use in this class in both CSI and IT&E.
  • CSI facilities.
  • Software available in SITE labs.

    Other Resources

  • S (or S-Plus) Cheatsheet (courtesy of Barry Brown, University of Texas at Houston)

    The most important WWW repository of statistical stuff (datasets, programs, general information, connection to other sites, etc.) is StatLib Index at Carnegie Mellon.

    Students

    The students in the class all have homepages on which they put parts of their assignments and other interesting stuff.
    Angel Martinez
    Ru Sun
    Steve Thomson
    Steve Wilcox

    James Gentle, jgentle@gmu.edu