02427 - Lecture Schedule  

2023

No.

Date 

Lecturer

Subject

1

WEDNESDAY
  30 AUG - DK

Henrik Madsen 
Erik Lindström

Non-linear time series models 
Generalized transfer functions 
Kernel estimators

2

WEDNESDAY

6 SEP - DK

Henrik Madsen 
Erik Lindström

Kernel estimators and their applications in time series analysis 
Non-parametric models 
Identification of non-linear models 
Cumulants and polyspectra

3

WEDNESDAY 
  13 SEP - local

Henrik Madsen 
Erik Lindström

Computer exercises 1

4

WEDNESDAY
  20 SEP - DK

Henrik Madsen 
Erik Lindström

Parameter estimation in non-linear models 
Case study

5

WEDNESDAY
  27 SEP - DK

Henrik Madsen 
Erik Lindströms

State Space Models and State Space Modeling

Ordinary Kalman Filter and extended filters
Non-linear state space models

Generalized State Space models

6

WEDNESDAY
4 OCT - local

Henrik Madsen
Erik Lindström

Computer exercise 2


7

WEDNESDAY
  11 OCT - DK

Henrik Madsen
Erik Lindström

Stochastic differential equations 
Ito Calculus 
Exact and approximate filters


8

WEDNESDAY
  25 OCT - DK

Henrik Madsen
Erik Lindström

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

9

WEDNESDAY
  1 NOV - local

Henrik Madsen
Erik Lindström

Computer exercises 3

10

WEDNESDAY
  8 NOV - DK

Henrik Madsen 
Erik Lindström

Recursive estimation 
Non stationary systems

11

WEDNESDAY
15 NOV - DK

Henrik Madsen 
Erik Lindström

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

12+13

 WEDNESDAY
  22+29 NOV - local

Henrik Madsen 
Erik Lindström

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

Please note NO LECTURES ON 18 OCT (Autumn break in DK)
Lectures will take place at DTU in building 321 room 033

Time schedule for a lecture day:
            10.00 - 12.00 Forelæsninger / lectures
            12.00 - 13.00 Frokost / lunch
            13.00 - 14.00 Øvelser/written exercises
            14.00 - 16.00 Forelæsninger / lectures

Please note that Computer exercises will take place from 13 to 17 on the days shown above

For further information, please contact: Henrik Madsen, DTU Compute, Room 004,Bldg. 303B, DTU
Phone: +45 4525 3408 , E-mail hmad@dtu.dk - http://henrikmadsen.org/
Erik Lindström Phone: +46 46 222 4578 - e-mail: erikl@maths.lth.se- http://www.maths.lth.se/matstat/staff/erikl/




Last modified 21 AUG 2023 hmad