This page is under construction and minor updates might occur, slides and scripts will be uploaded before each lecture.

Day no. Date Lecturer Subject Material Exercises  
1 2/9 Erik Lindström Non-linear time series models
Generalized transfer functions
Volterra series		      
2 9/9 Tobias K. S. Ritschel Kernel estimators and their applications in time series analysis
Non-parametric and conditional-parametric models
Identification of non-linear models
Cumulants and polyspectra		      
3 16/9 Tobias K. S. Ritschel State Space Models and State Space Modeling
Ordinary Kalman Filter and extended filters
Non-linear state space models
Generalized State Space models		      
4 23/9 Teaching Assistant Computer exercises 1      
5 30/9 Erik Lindström Parameter estimation in non-linear models
Case studies		      
6 7/10 Jan Klopppenborg Møller Forecast reconciliation
Multivariate forecast evaluation		 Bjerregaard_etal2021    
7 21/10 Erik Lindström Stochastic differential equations
Ito Calculus
Exact and approximate filters		      
8 28/10 Teaching Assistant Computer exercises 2      
9 4/11 Jan Klopppenborg Møller Estimation of linear and (some) non-linear SDEs
Modelling using stochastic differential equations		      
10 11/11 Teaching Assistant Computer exercises 3      
11 18/11 Erik Lindström Recursive estimation
Non stationary systems		      
12 25/11 Jan Klopppenborg Møller
Tobias K. S. Ritschel		 Modelling non-stationary systems
Experimental design for dynamic system modelling
Prediction in non-linear models		      
13 2/12 Teaching Assistant Computer exercises 4      
  17-18/12 Exam