Mathematical Sciences

Lund University

Time series analysis

Official Course Description

Description

Stationary and nonstationary processes, ARIMA processes, seasonal variation, prediction, filtering and reconstruction in transfer function models and state space models, parameter and structure estimation by least squares, maximum likelihood and predictive error methods, spectral analysis, recursive estimation, adaptive techniques, robustness and outlier detection, multivariate time series, spectral density estimation

Current Sessions

Course Information

LTH Code:FMSN45
NF Code: MASM17
Credits:7.5
Level:Advanced Level
Language:English

Prerequisites

CEQ

CEQ - Time series analysis