uerikl Non-linear Time Series Analysis

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[Lunds Universitet]

MASM12: Non-linear Time Series Analysis, 7.5p, Fall 2019

Course program for 2019: can be found HERE.
Exercises and computer exercises can be found HERE. All lectures in Lund can be found here.

The course starts September 4th (full day of lectures) in Denmark. The department will rent a number of cars/minibuses for our transportation (we need drivers!). The cars will leave from Lund at around 8:30 (sharp), and be back around 17:30. The cars will leave from the parking lot south of the mathematics building (MH in the map).

Latest new, 2019


COURSE DESCRIPTION

Department: Division of Mathematical Statistics at the Centre for Mathematical Sciences, Lund Institute of Technology together with Informatics and Mathematical Modelling (IMM), Technical University of Denmark, Lyngby.

Credits: 7.5 ECTS credits.

Lecturers: Erik Lindstr�m, phone: +46 46 222 45 78, email: erikl@maths.lth.se
Henrik Madsen, phone: +45 45 253408, email: hm@imm.dtu.dk

Prerequisites: Mathematical Statistics, basic course. Furthermore, it is recommendable to have taken a course on Stationary Processes, and necessary to have taken a basic course in Time Series Analysis, e.g. FMS051 Time Series Analysis / Tidsserieanalys in Lund or 02417 Time Series Analysis in Lyngby.

Course program: Can be found HERE.

A short description of the contents of the course:

The graduate course in Advanced Time Series Analysis has its target audience amongst students with technical or natural science background and with adequate basic knowledge in mathematical statistics. The primary goal to give a thorough knowledge on modeling dynamic systems. A special attention is paid to non-linear and non-stationary systems, and the use of stochastic differential equations for modeling physical systems. In more detail:

Literature:

H. Madsen, J. Holst & E. Lindstrom (2010): Modelling Non-Linear and Non-Stationary Time Series This is being distributed during the first lecture in Denmark.

Exercises during the lectures: In the afternoon during the lecture days, one hour will be used for you working with small exercises to be solved without computer. These exercises will be delivered during the lecture days.

Computer exercises: During the course the computer exercises will be delivered in connection with the lectures. They are also downloadable from the course homepage.

The computer exercises will in Lund be guided by Erik Lindstr�m, phone: +46 46 2224578.