|
|
| Offered by:
Department of Mathematical Modelling
(IMM) |
| Prerequisite: 04244/C0416 |
| Desirable: 04241/C0411 |
| Recommended semester:
7th - 9th semester |
| Scope and form: Lectures and excercises |
| Examination:
One or several reports are evaluated
(13 point scale
) |
| Remarks: International course. |
| Contact person: |
Henrik Madsen, IMM, Building 321, Tel. +45 4525 3408, email: hm@imm.dtu.dk
Jan Holst, IMM, tlf. +46 4610 9538, email: jahn@maths.Ith.se |
|
| Aim: To give an introduction to advanced time series analysis. The primary goal to give a thorough knowledge on modelling dynamic systems. A special attention is paid on non-linear and non-stationary systems, and the use of stochastic differential equations for modelling physical systems. |
Contents: Non-linear time series models. Kernel estimators and time series analysis. Identification of non-linear models. State space models.
Prediction in non-linear models. State filtering. Stochastic differential equations. Estimation of linear and (some) non-linear stochastic differential equations. Experimental design for dynamic identification. Methods for tracking parameters in non-stationary time series. Examples of both non-linear and non-stationary models. Non-linear models and chaos. |
