Single-Course English 10 ECTS

Advanced Time Series Analysis

Overall Course Objectives

To give an introduction to advanced methods for time series analysis. The primary goal to give a thorough knowledge on modelling dynamic systems. Special attention is paid on non-linear and non-stationary systems, and the use of stochastic differential equations for modelling physical and technical systems. The main goal is to obtain a solid knowledge on methods and tools for using time series for setting up models for real life systems.

Learning Objectives

  • Apply methods for building stochastic dynamic models
  • Identify the need for a non-linear model
  • Identify the need for a non-stationary model
  • Knowledge about a number of non-linear and non-stationary model classes
  • Establish models in discrete and continuous time
  • Differentiate between methods for formulating stochastic models
  • Apply stochastics models for prediction
  • Knowledge about using stochastic differential equations for modelling
  • Apply non-parametric and semi-parametric methods
  • Calculate predictions of time series
  • Estimate parameters in stochastic dynamic models
  • IDocument and present results in a written report.

Course Content

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. Model building for real life systems. The final contents of the course will be discussed with the students.

Recommended prerequisites

02417, Time series analysis (02417 or similar)

Teaching Method

Lectures and exercises



International course.

Limited number of seats

Maximum: 40.

Please be aware that this course has a limited number of seats available. If there are too many applicants, a pool will be created for the remainder of the qualified applicants, and they will be selected at random. You will be informed 8 days before the start of the course, whether you have been allocated a spot.

See course in the course database.





13 weeks




DTU Lyngby Campus

Course code 02427
Course type Candidate
Semester start Week 35
Semester end Week 48
Days Wed 8-17

15.000,00 DKK

Please note that this course has participants limitation. Read more