Time Series Analysis and Signal Processing
Syllabus
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
VARX
State Space model Kalman Filter
Final Project