Random Walk: Hitting Probabilities

In course

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Description

This lecture covers the concept of random walks, hitting probabilities, recursive structures, and the optional sampling theorem. It also delves into the distribution of maximum values and Gaussian processes, including AR(1) processes and the Kalman filter.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_x66zatub

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Statistical inference: Mathematical statistics

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