snowdj/quant_iii_lab

Lab Resources for Quant 3

Quantitaive Analysis III

This repository holds the Lab Resources for Quant 3. The course was taught in Fall 2014 and Fall 2015 at New York University by professor Arturas Rozenas (syllabus) and teaching assistant Elad Zippory.

There are two types of resources: code and whiteboard notes. You can browse by weekly folders to have the resources per week, or by topic below.

R as a tool

• re-introduction (wk 1)
• simulating Bayes (wk 1)
• caret (wk 7)
• dplyr and data.table (wk 8)

Maximum Likelihood and GLM

Whiteboard

• The Binomial is a member of the exponential (wk 1)
• [Predictive probability for Negative Binomial] (https://github.com/elad663/quant_III_lab/blob/master/Lab_3/whiteboard_NB_predictive_probability.pdf) (wk 3)
• MLE for ordinal, multinomial and conditional poisson (wk 4)

Code

• Identification (wk 2)
• Expected likelihood (wk 2)
• Newton Raphson optimization (wk 2)
• logit: predicted probabilites and marginal effects (wk 3)
• ordinal probit: MLE and marginal effects (wk 5)
• Count, Multinomial (wk 6)
• Penalized likelihood: lasso, ridge, radial and polynomial kernels (wk 7)

Baysian Data Analysis

Whiteboard

• Comments on Normal Posteriors (wk 9)

Code

• Intro to stan (wk 10)
• Hierarchical modelling in stan (wk10)
• Item Response in stan (wk11)
• Bayesian Model Averaging (wk 12)
• Mixture Models (wk 12)

Other topics

• PCA and K-Means (wk 7)
• Intro to Time Series (wk 8)