Solutions to the labs and project of the course FMSN45 in LTH. Some of the topics are: Studies of ARMA-processes. Non-stationary models, slowly decreasing dependence. Transformations. Optimal prediction and reconstruction of processes. State representation, principle of orthogonality, and Kalman filtering. Parameter estimation: Least squares and Maximum likelihood methods as well as recursive and adaptive variants. Non-parametric methods,covariance estimation, spectral estimation. An orientation on robust methods and detection of outliers.

In particular, you find our solution to the interesting (and rather tough for that matter) project in Time-Series-Analysis/CourseMaterial/Code/ProjFinal/. The final paper can be found here and most of the code is found here.

In collaboration with @DavyThan.