Tid: 17 december 2007 kl 15.15-16.00 .
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Karl Stavenberg
Titel: Trend models within the structural time series framework. (Examensarbete)
Sammanfattning: This thesis evaluates some trend models within the structural time series framework applied to a stock price series. The models are set up in state space form, and from there the Kalman filter is applied. Models tested include: the Local Linear Trend model, the Smooth Local Trend model, the Second-order Polynomial Local Trend model, and the Second-order Polynomial Smooth Local Trend model.