- Enseignant: Afzal Chamroo
- Enseignant: Guillaume Mercere
- Enseignant: Oumayma Saadani
Estimation
The objective of this course is to introduce linear least squares techniques for time series modeling. Starting with a simple linear example, the concept of a model is introduced, along with criteria for assessing the fit between the model and the data. The linear least squares solution is derived using this basic example and then generalized using linear algebra tools. The course also covers the numerical implementation of this solution for models represented by polynomial functions or a function basis. Finally, model validation techniques are discussed, and the developed tools are tested on examples of varying complexity.