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Advanced Data Analysis

  • Teacher(s):   S.Scheidegger  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Spring Semester 2020-2021, 4.0h. course (weekly average)
  •  sessions
  • site web du cours course website
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The objective of the course is to gain practical familiarity with current computer-aided data analysis and machine-learning approaches.

We will study methods from

a) supervised machine learning (classification and regression)

b) unsupervised machine learning

c*) reinforcement learning (if time permits)

A substantial part of the course will be devoted to learning on how to apply the current implementation frameworks TensorFlow, Keras, and scikit-learn and how to dispatch them on cloud-computing infrastructures by using Python.

In addition, we will have visitors from the financial and insurance industry holding guest lectures to demonstrate where these methods are applied in real-world settings.


This course will be beginning with basic topics such as classification and linear regression and ending up with more recent topics from Deep Learning.

Some of the topics we will cover are:

  • Linear Regression
  • Classification
  • Cross-Validation, MSE, BIAS
  • performance measures
  • Regularization, Model Selection,
  • Nonlinear regression
  • Bayesian methods (e.g. Naive Bayes)
  • Tree-based methods
  • Support-vector machines
  • Gaussian process regression and classification
  • K-means, Mixture Models, and the EM Algorithm
  • Dimension reduction (PCA, active subspace)
  • Neural nets /Deep Learning

The hands-on examples will all be in Python.


  1. An Introduction to Statistical Learning (with Applications in R), James, Witten, Hastie, Tibshirani, Springer
  2. Deep Learning, Goodfellow, Bengio, Courville, MIT Press
  3. Pattern Recognition and Machine Learning, Bishop, Springer
  4. Introduction to Machine Learning, Third Edition, Alpaydin, MIT Press


  1. Basic econometrics
  2. Basic programming (in Python)
  3. Basic calculus and probability

The course will consist of both lectures, software tutorials, and exercises. For the tutorials and exercises, you will need to bring a laptop computer to each class. If you do not have a laptop computer, you can still follow the class but please contact the professor to help you find a solution for effective participation in the practical hands-on exercises.


First attempt

Without exam (cf. terms)  

There will be two graded home-take exams (24h time to solve them. Each counting for 25% of the final grade, totaling in 50% of the final grade) and a term paper of 10 pages length thatneeds to be presented in class (the term paper and the presentation together account for the remaining 50% of the grade).

We will award the grades based on whether problem set grades are generally on par with the class average and whether the final project and presentation demonstrate an understanding of the course material. There will be no written exams.


Without exam (cf. terms)  

Following HEC guidelines, we allow a second attempt to any or all of the partial grades with a result below 4.0 if and only if your overall grade is below 4.0. This means that, for example, if your project received a grade of 4.0 and both your take-home exams a grade of 3.5, you have the choice to redo one or both take-home exams to try to move the average above the minimum grade.
If you received a grade below 4.0 for your project and choose to redo it, you will also have to present said project during the summer.
You will be granted one day to complete and hand-in the retake of the take-home exams (non-cumulative, if you redo to take-home exams, you still have one week). Two weeks will be given to redo the project and present the results from a date agreed upon onward.
As with the regular evaluation, we will award the grades based on whether the home-take exam grades are generally on par with the class average and whether the final project demonstrates an understanding of the material.

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