MATH-426 / 5 credits

Teacher: Aru Juhan

Language: English


Summary

This is an introductory course on Gaussian fields and processes - or more shortly, on Gaussian magic. By discussing both the general theory and concrete examples, we will try to understand where and how Gaussian processes appear, and how to study them.

Content

Learning Prerequisites

Required courses

Mathematics Bachelor's level knowledge of analysis, linear algebra and probability (for example, the Bloc "Science de Base" in EPFL Mathematics Bachelor's program).

 

Recommended courses

From the Bachelor's program: Martingales and applications; Stochastic processes;
From the Master's program: Probability theory, Theory of Stochastic calculus.

Learning Outcomes

By the end of the course, the student must be able to:

  • Recognize Gaussian processes
  • Characterize Gaussian processes
  • Analyze Gaussian processes

Teaching methods

Lectures and exercise classes.

Assessment methods

Oral exam

Dans le cas de l'art. 3 al. 5 du Règlement de section, l'enseignant décide de la forme de l'examen qu'il communique aux étudiants concernés.

Supervision

Office hours No
Assistants Yes
Forum No

Resources

Bibliography

Will be discussed in class.

In the programs

  • Semester: Spring
  • Exam form: Oral (summer session)
  • Subject examined: Gaussian processes
  • Lecture: 2 Hour(s) per week x 14 weeks
  • Exercises: 2 Hour(s) per week x 14 weeks
  • Semester: Spring
  • Exam form: Oral (summer session)
  • Subject examined: Gaussian processes
  • Lecture: 2 Hour(s) per week x 14 weeks
  • Exercises: 2 Hour(s) per week x 14 weeks
  • Semester: Spring
  • Exam form: Oral (summer session)
  • Subject examined: Gaussian processes
  • Lecture: 2 Hour(s) per week x 14 weeks
  • Exercises: 2 Hour(s) per week x 14 weeks

Reference week

 MoTuWeThFr
8-9     
9-10     
10-11     
11-12     
12-13     
13-14     
14-15     
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22