lesson |
date |
lesson
topics |
total
time |
---|---|---|---|
Part 1: Probability theory and probability models |
|||
1 |
25/9/2023 |
Introduction to the course.
Basic combinatorics and probability. Set theory representation of probability space. Addition law for probabilities of incompatible events. Addition law for probabilities of non-mutually exclusive events: the inclusion-exclusion principle. |
2 |
2 |
29/9/2023 | Application of the
inclusion-exclusion principle. Conditional probabilities.
Independent events. Statistical independence and
dimensional reduction. Bayes' theorem and basic introduction to Bayesian inference. Elementary example of Bayesian inference. |
4 |
3 |
2/10/2023 | Conditional probabilities in stochastic modeling: gambler's ruin and probabilistic diffusion models. Discrete and continuous forms of gambler's ruin. Counting problems in particle physics. Introduction to random variables, basic definitions for discrete and continuous random variables. Uniform distribution. | 6 |
4 |
6/10/2023 | Buffon's needle.
Expectation, dispersion and their properties. Higher
moments. The concept of convergence in probability theory.
Chebyshev's inequality. From Chebyshev's inequality to the weak law of large numbers. |
8 |
5 |
9/10/2023 | The generalized Chebyshev's inequality.
Strong law of large numbers. Introduction to generating functions. |
10 |
6 |
13/10/2023 | Probability generating
functions. Generating functions of some common
distributions. Poisson distribution as limiting case of a
binomial distribution. PGF of the Galton-Watson branching process. Photomultiplier noise. The Luria-Delbrück experiment (slides). |
12 |
7 |
16/10/2023 | The Luria-Delbrück
experiment (ctd.). Characteristic functions. Moments of a
distribution from the point of view of generating and
characteristic functions. Skewness and kurtosis. Mode and
median. Properties of characteristic functions.
Characteristic functions of some common distributions.
Characteristic function of the Gaussian distribution.
Series expansion of a generic characteristic function. The
Central Limit Theorem (CLT). Further comments on on the
CLT. The Berry-Esseen theorem. |
14 |
8 |
20/10/2023 | Multiplicative processes
and their difference with additive processes. Power laws. Brief review of common probability models: 1. The uniform distribution; 2. the Bernoulli distribution; 3 the binomial distribution. 4. the geometric distribution. 5. the negative binomial distribution. |
16 |
9 |
23/10/2023 | Brief review of common probability models (ctd.): 6. the hypergeometric distribution; application of the hypergeometric distribution to opinion polling. 6. the multinomial distribution. 8. Poisson distribution. The Poisson process as a memoryless random point process. Examples: cell plating statistics in biology; Poisson survival probability in radiobiology; simple model of onset of cancer vs. age (slides). | 18 |
10 |
27/10/2023 | Brief review of common probability models (ctd): 9. exponential distribution. Example: paralyzable and non-paralyzable detectors. Example: coincidence counting. 10. Properties of the normal distribution. Error function and the cumulative distribution function of the normal distribution. High-rate limit of the Poisson distribution. Transformations of random variables. Generic transformations of multivariate distributions. Approximate transformation of random variables: General formulas for error propagation. Linear orthogonal transformations of random variables. | 20 |
11 |
30/10/2023 | Brief review of common probability models (ctd): The multivariate normal distribution. The log-normal distribution. The gamma distribution. The Cauchy-Lorentz distribution. The Landau distribution. The Rayleigh distribution. Other important probability distributions. Example of a complex model used to setup a null hypothesis: the distribution of nearest-neighbor distance. | 22 |
Part 2: Statistical inference |
|||
12 | 10/11/2023 | Introduction to descriptive and exploratory
statistics (slides).
Visualization in statistics (see this
beautiful example due to Hans Rosling). Quick
review of sample mean, sample variance, estimate of
covariance and correlation coefficient. Linear fits and the correlation coefficient. Schwartz's inequality and Pearson's correlation coefficient. Broad discussion on Exploratory Data Analysis (EDA, link to the dedicated NIST website). PDF of sample mean for exponentially distributed data. |
24 |
13 | 13/11/2023 | Order statistics. Box plots. Outliers.
Violin plots. Rug plots. Kernel density plots. Discussion
on the inadequacy of standard deviation in the presence of
extreme outliers, and proposed solution drawn from
information theoretic concepts. Correlated noise and
precise timekeeping; the Allan variance. |
26 |
14 |
17/11/2023 | Introduction to the Monte Carlo
method. Early history of the Monte Carlo method.
Pseudorandom numbers. Uniformly distributed pseudorandom
numbers. Transformation method. Example: generation
of exponentially-distributed pseudorandom numbers. |
28 |
15 |
20/11/2023 | The Box-Müller method for the generation of pairs of
Gaussian variates. Transformation method and the
transformation of differential cross sections.
Acceptance-rejection method. Monte Carlo method examples: Examples: 1. generation of angles in the e+e- -> mu+mu- scattering; 2. generation of angles in the Bhabha scattering. 3. the structure of a complete MC program to simulate low-energy electron transport. |
30 |
16 | 22/11/2023 | Statistical bootstrap. Review of the Bayesian approach to statistical inference. Maximum likelihood method 1. Connection with Bayes' theorem. The Maximum Likelihood principle. Example with exponentially distributed data. |
32 |
17 |
24/11/2023 | Maximum likelihood method
2. Point estimators. Properties of estimators.
Transformations of estimators. Consistency of the maximum
likelihood estimators. Asymptotic optimality of ML
estimators. Bartlett's Identities. Cramer-Rao-Fisher
bound. Variance of ML estimators. |
34 |
18 |
27/11/2023 | Maximum likelihood method 3. Introduction to Shannon's entropy. Information measures based on the Shannon's entropy: Kullback-Leibler divergence, Jeffreys distance. Fisher information and its applications. Efficiency and Gaussianity of ML estimators. | 36 |
19 |
1/12/2023 | Introduction to confidence
intervals. Credible intervals in the Bayesian
perspective. Confidence intervals for the sample
mean of exponentially distributed samples. Confidence
intervals and confidence level. Detailed analysis of the
Neyman construction of confidence intervals (link to the Neyman paper).
Confidence intervals for the correlation coefficient of
a bivariate Gaussian distribution from MC simulation.
Graphical method for the variance of ML estimators.
Extended maximum likelihood. Introduction to ML with
binned data. Example with two counting channels. |
38 |
20 |
4/12/2023 | Chi-square
and its relation to ML. The chi-square distribution using
the formalism of characteristic functions. The chi-square
distribution in the frame of multidimensional geometry.
The least-squares method. Parametric fits. General least
squares. Nonlinear least squares. Chi-square minimization
in the context of optimization theory: short list of
function minimization methods. Linear regression and
linear prediction with autoregressive-moving average
(ARMA) models. An anecdote about Fermi and multiparametric
fits (check Dyson's
paper). |
40 |
21 |
11/12/2023 | More on fits. Hypothesis tests, significance level. Examples. Critical region and acceptance region. Errors of the first and of the second kind. The Neyman-Pearson lemma. Wilks' theorem (link to Wilks' paper). | 42 |
22 |
13/12/2023 | Fisher's p-value and
rejection of the null hypothesis. Counting problems in
physics: the Li-Ma algorithm in gamma-ray astronomy (and
the likelihood-ratio method) (slides). |
44 |
23 |
15/12/2023 | Machine Learning and
Statistics(1). Naive Bayesian Classification. The
Expectation-Maximization (EM) algorithm. (slides and link
to "A gentle tutorial of the EM algorithm" by J. A.
Bilmes) |
46 |
24 |
18/12/2023 | Machine Learning and Statistics(2). K-means. The Principal Components method. (slides) | 48 |