Non-linear Time Series Analysis
Official Course Description
The course is given every second year (2014, 2016, etc).
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. The course is given in cooperation with DTU (Danish technical university, Lyngby)