uerikl Non-linear Time Series Analysis

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[Lunds Universitet]

MASM12: Non-linear Time Series Analysis, 7.5p, Fall 2016

Course program for 2016: Can be found HERE. The lectures at DTU will be in building 303b room 026, while the lectures in Sweden will be in MH:362d expect for the last lecture in Sweden that will be held in MH:228.

Exercises and computer exercises can be found HERE. The computer exercises are held in MH:230 between 13-17 (note: attendance is not compulsary!)

Latest new, 2016


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 Lindström, 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:


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 Lindström, phone: +46 46 2224578.