This is a graduate-level introduction to the principles of statistical inference with probabilistic models defined using graphical representations. The material in this course constitutes a common foundation for work in machine learning, signal processing, artificial intelligence, computer vision, control, and communication. Ultimately, the subject is about teaching you contemporary approaches to, and perspectives on, problems of statistical inference.

This course covers the key quantitative methods of finance: financial econometrics and statistical inference for financial applications; dynamic optimization; Monte Carlo simulation; stochastic (Itô) calculus. These techniques, along with their computer implementation, are covered in depth. Application areas include portfolio management, risk management, derivatives, and proprietary trading.

The tools of probability theory, and of the related field of statistical inference, are the keys for being able to analyze and make sense of data. These tools underlie important advances in many fields, from the basic sciences to engineering and management.
This resource is a companion site to 6.041SC Probabilistic Systems Analysis and Applied Probability. It covers the same content, using videos developed for an edX version of the course.

6.867 is an introductory course on machine learning which gives an overview of many concepts, techniques, and algorithms in machine learning, beginning with topics such as classification and linear regression and ending up with more recent topics such as boosting, support vector machines, hidden Markov models, and Bayesian networks. The course will give the student the basic ideas and intuition behind modern machine learning methods as well as a bit more formal understanding of how, why, and when they work. The underlying theme in the course is statistical inference as it provides the foundation for most of the methods covered.

Samples and ProbabilityType of Unit: ConceptualPrior KnowledgeStudents should be able to:Understand the concept of a ratio.Write ratios as percents.Describe data using measures of center.Display and interpret data in dot plots, histograms, and box plots.Lesson FlowStudents begin to think about probability by considering the relative likelihood of familiar events on the continuum between impossible and certain. Students begin to formalize this understanding of probability. They are introduced to the concept of probability as a measure of likelihood, and how to calculate probability of equally likely events using a ratio. The terms (impossible, certain, etc.) are given numerical values. Next, students compare expected results to actual results by calculating the probability of an event and conducting an experiment. Students explore the probability of outcomes that are not equally likely. They collect data to estimate the experimental probabilities. They use ratio and proportion to predict results for a large number of trials. Students learn about compound events. They use tree diagrams, tables, and systematic lists as tools to find the sample space. They determine the theoretical probability of first independent, and then dependent events. In Lesson 10 students identify a question to investigate for a unit project and submit a proposal. They then complete a Self Check. In Lesson 11, students review the results of the Self Check, solve a related problem, and take a Quiz.Students are introduced to the concept of sampling as a method of determining characteristics of a population. They consider how a sample can be random or biased, and think about methods for randomly sampling a population to ensure that it is representative. In Lesson 13, students collect and analyze data for their unit project. Students begin to apply their knowledge of statistics learned in sixth grade. They determine the typical class score from a sample of the population, and reason about the representativeness of the sample. Then, students begin to develop intuition about appropriate sample size by conducting an experiment. They compare different sample sizes, and decide whether increasing the sample size improves the results. In Lesson 16 and Lesson 17, students compare two data sets using any tools they wish. Students will be reminded of Mean Average Deviation (MAD), which will be a useful tool in this situation. Students complete another Self Check, review the results of their Self Check, and solve additional problems. The unit ends with three days for students to work on Gallery problems, possibly using one of the days to complete their project or get help on their project if needed, two days for students to present their unit projects to the class, and one day for the End of Unit Assessment.

Welcome to 6.041/6.431, a subject on the modeling and analysis of random phenomena and processes, including the basics of statistical inference. Nowadays, there is broad consensus that the ability to think probabilistically is a fundamental component of scientific literacy. For example:

The concept of statistical significance (to be touched upon at the end of this course) is considered by the Financial Times as one of “The Ten Things Everyone Should Know About Science”.
A recent Scientific American article argues that statistical literacy is crucial in making health-related decisions.
Finally, an article in the New York Times identifies statistical data analysis as an upcoming profession, valuable everywhere, from Google and Netflix to the Office of Management and Budget.

The aim of this class is to introduce the relevant models, skills, and tools, by combining mathematics with conceptual understanding and intuition.

This course is offered both to undergraduates (6.041) and graduates (6.431), but the assignments differ. 6.041/6.431 introduces students to the modeling, quantification, and analysis of uncertainty. Topics covered include: formulation and solution in sample space, random variables, transform techniques, simple random processes and their probability distributions, Markov processes, limit theorems, and elements of statistical inference.

This course introduces students to the modeling, quantification, and analysis of uncertainty.  The tools of probability theory, and of the related field of statistical inference, are the keys for being able to analyze and make sense of data. These tools underlie important advances in many fields, from the basic sciences to engineering and management.
Course Format

This course has been designed for independent study. It provides everything you will need to understand the concepts covered in the course. The materials include:

Lecture Videos by MIT Professor John Tsitsiklis
Lecture Slides and Readings
Recitation Problems and Solutions
Recitation Help Videos by MIT Teaching Assistants
Tutorial Problems and Solutions
Tutorial Help Videos by MIT Teaching Assistants
Problem Sets with Solutions
Exams with Solutions

Related Resource

A complementary resource, Introduction to Probability, is provided by the videos developed for an EdX version of 6.041. These videos cover more or less the same content, in somewhat different order, and in somewhat more detail than the videotaped live lectures.