02427 - Lecture Schedule  

No.

Date

Lecturer

Subject

1

WEDNESDAY
SEP. 3 - DK

Erik Lindström

Non-linear time series models 
Generalized transfer functions 
Volterra series

2

WEDNESDAY
SEP. 10 - DK

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

WEDNESDAY
SEP. 17 - Local

Teaching Assistant

Computer exercises 1

4

WEDNESDAY
SEP. 24 - DK

Erik Lindström

Parameter estimation in non-linear models 
Case studies

5

WEDNESDAY
OCT. 1 - DK

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

6

WEDNESDAY
OCT. 8 - Local

Teaching Assistant

Computer exercise 2

7

WEDNESDAY
OCT. 22 - DK

Erik Lindström

Stochastic differential equations 
Ito Calculus 
Exact and approximate filters

8

WEDNESDAY
OCT. 29 - DK

Jan Kloppenborg Møller

Forecast reconciliation

9

WEDNESDAY
NOV. 5 - DK

Jan Kloppenborg Møller

Estimation of linear and (some) non-linear SDEs 
Modelling using stochastic differential equations

10

WEDNESDAY
NOV. 12 - DK

Teaching Assistant

Computer exercises 3

11

WEDNESDAY
NOV. 19 - DK

Erik Lindström

Recursive estimation 
Non stationary systems

12+13

WEDNESDAY
NOV. 26 + DEC. 3 - DK

Jan Kloppenborg Møller
Tobias K. S. Ritschel
Teaching Assistant

Modelling non-stationary systems 
Experimental design for dynamic system modelling 
Prediction in non-linear models

Computer exercises 4 (plus eventually an extra lecture on a selected topic)