Back to top

Graduate Lecture – HT2017

23 Feb 17

Speaker: Jouni Helske, University of Jyvaskyla

Title: Computationally efficient state space modelling

Abstract: State space modelling (SSMs) offers an unified framework for statistical inference of a
broad class of time series and other data. For example, traditional ARIMA models, structural time series models, and generalized linear mixed models can all be represented in a state space form. In this talk I will first introduce the basic concepts of state space modelling, and discuss some potential problems when using SSMs in practice. I then outline some (partial) solutions for these problems and their connection to my own research of computationally efficient Bayesian inference of SSMs.