Last updated: 2021-05-29 10:31:47

Week 9

  • Lecture 17 – Neural Nets, SGD, Optimization – Rmd
  • Lecture 18 – Review of Course – Rmd
  • Textbook refs: Neural Nets – ESL Ch. 11

Week 8

Week 7

Week 6

Week 5

  • Lecture 9 – ROC and Trees – Rmd
  • Lecture 10 – Trees and Forests – and Rmd
  • Textbook References:
    • Trees: ESL Ch. 9.2
    • Bagging: ESL Ch 8.7
    • Forests: ESL Ch 15

Week 4

Week 3

  • Lecture 5 – Variable Selection – Rmd and PDF
    • For those of you struggling with homeworks, there is a lot of valuable code in the old Lecture Rmd files
    • Semiconductors: Data, code in lecture Rmd
    • Comscore: Code in lecture Rmd, Data: domains, sites, total spend
  • Lecture 6 – Cross Validation – Rmd and PDF
    • The last few slides include a lot of useful code. If you can interpret and run the cross-validation code there, you should gain a solid grasp on cross-validation generally.
  • Homework 3 and Rmd
    • Due Next wednesday at midnight.
    • Solutions and Rmd
      • Some of the ratios etc may be inverted. This shouldn’t change any interpretations.
  • Textbook References
    • AIC: ESL Ch 7.5
    • BIC: ESL Ch 7.7
    • Stepwise: ESL Ch. 3.3
    • LASSO/Ridge/Shrinkage: ESL Ch. 3.4, 3.6, 3.8
    • Cross-Validation: ESL Ch 7.10
    • Bias-Variance Decomp: ESL Ch 7.2, 7.3

Week 2

  • Lecture 3 – Regression: Linear and Logit – Rmd and PDF
  • Homework 2 – Due Wednesday April 14
  • Lecture 4 – Deviance, OOS, Bootstrap – Rmd and PDF
  • Textbook References:
    • Linear Regression: ESL Ch. 3.2
    • Logistic Regression: ESL Ch. 4.4
    • Deviance: ESL p. 124
    • Out-of-Sample: ESL Ch. 7.1 (uses the term ‘generalization error’ or ‘validation error’)
    • Bootstrap: ESL Ch 7.49

Week 1

Before Class

  • Syllabus.
  • Textbooks:
    • “Elements of Statistical Learning” (ESL) by Hastie, Tibshirani, and Friedman – online and here
    • “Statistical Consequences of Fat Tails” by NN Taleb – online and here
    • “Causal Inference: The Mixtape” by Scott Cunningham – online
  • HW0: An ungraded assignment for making sure everyone is up to speed. Entirely optional.

Support or Contact

Questions? Email me (cdowd@chicagobooth.edu) and I’ll help you out.