Time Series Analysis and Signal Processing



Preliminary Ideas

Matrix Algebra    Probability and Expectation 

General Linear Model   Homework 1

Linear Systems Theory  Homework2

Stochastic Processes  Homework3

Spectral Estimation  Homework4

Transfer Functions and Linear Filtering     Fourier Matrix

Model Estimation and Comparison Homework 5

ARIMAX   ARMAX in state space form  Homework 6


State Space model Kalman Filter

Final Project