Lecture

Structural Modelling and the Kalman Filter: Time Series

In course

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Description

This lecture covers structural modelling in time series, including trend, cyclical, seasonal, and irregular components. It delves into the mathematical mechanisms to model these components, as well as the Kalman filter for prediction and estimation in state space modelling.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_yvgre4q3

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Ontological neighbourhood

Statistics

Data analysis: Regression analysis, Time series

Statistical inference: Mathematical statistics

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