HMMA237 - Advanced time series (2018-2019)

Time series and around, a bit of splines and other things
statistics
filtering
dynamic programming
splines
Scatter plots, and several curves representing splines approximations for various parameters.

This is an undergraduate course (in French!) introducing advanced

Syllabus:

version 2018-2019

Notes de cours:

  1. Introduction.pdf

  2. Ridge.pdf

  3. Filtrage.pdf

  4. Kalman.pdf

  5. ProgrammationDynamique.pdf

  6. DetectionRuptures.pdf

  7. Splines.pdf

Travaux dirigés:

  1. TD1-Woodbury.pdf

  2. TD2-Kalman.pdf

  3. TD3-ProgrammationDynamique.pdf

Exemple de projet LaTeX:

Fichier pour la partie LaTeX du cours: latex-homework.zip

Plus d’information et quelques sources de données: