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Last update: RNDr. Jitka Zichová, Dr. (25.04.2018)
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Last update: Mgr. Michal Kupsa (21.02.2021)
To present basics of information theory with applications to finance and statistics. The core of the course is the mathematical theory with precise definitions and theorems. Proofs are not omitted. |
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Last update: Mgr. Michal Kupsa (21.02.2021)
Oral exam with written preparation. |
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Last update: Mgr. Michal Kupsa (18.02.2022)
T.M. Cover, J.A.Thomas: Elements of Information Theory, second edition, Wiley and Sons, Inc. (2006) |
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Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)
Lecture. |
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Last update: RNDr. Jitka Zichová, Dr. (29.10.2019)
According to the sylabus and the content of the lecture. |
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Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)
1. Entropy, mutual information, Kullback-Leibler divergence for random variables 2. Entropy rate for discrete random process with discrete time 3. Kelly's gambling, Gambling and side information, Dependent horse races 4. Hypothesis testing, Chernoff-Stein Lemma, Chernoff information 5. Stock Market, Kuhn-Tucker charakterization of the log-optimal portfolio 6. Asymptotic optimality for the log-optimal portfolio 7. Universal portfolio, finite horizon and horizon-free case
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Last update: RNDr. Jitka Zichová, Dr. (05.06.2019)
Basics of probability theory, mathematical analysis and linear algebra. |