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Mathematical preliminaries of time series modelling

As this thesis deals with modelling time series data, the first chapter will discuss mathematical background on the subject. In Section 2.1, a brief introduction to the theory of dynamical systems and some useful tools for solving the related inverse problem, i.e. finding a suitable dynamical system to model a given time series, is presented. Section 2.2 discusses some of the practical consequences of the results. The concepts presented in this chapter form the basis for the rest of the thesis. Most of them will, however, not be used directly.


Antti Honkela 2001-05-30