TMA4285 Time Series Models, Autumn 2013

This exercise consists of two problems. In both problems you are asked to run Kalman filter recursions. You should yourself make the necessary code to run these recursions in R, Matlab or some other programming environment of your choice. Thus, it is not sufficient to call functions already implemented by others. Your code do not need to be very general, it is sufficient that it can be used to solve the two problems below. Your code for recursions should be included in what you hand in.

You are allowed to work (and hand in your report) alone or in groups of two persons. If you work in a group, the group does not have to be the same as for the first compulsary exercise. Write your name(s) on the report, not student or candidate numbers.

If you have some experience in using Matlab, the easiest alternative for you is probably to use Matlab to solve the exercise, but it can also be solved with R. You may use the computers in the student computer lab of the Department of Mathematical Sciences.

• Problem 1: problem1.pdf
• Problem 2: problem2.pdf