Course on "Non-parametric state-space models: an application for data

reconstruction in physical oceanography"

Time: December 04th, 2023 - January 19th, 2024 (20 hours)

Location: Department of Applied Mathematics, AGH - University of Krakow,
Krakow, Poland.
Lecturer: Dr. Thi-Tuyet-Trang Chau, LSCE/CEA Saclay - IPSL - University of Paris
Saclay, France.
Dr Chau got her Ph.D. in Applied Mathematics granted by the University of Rennes
1 (France) in 2019. She then continued her research at LSCE. Her teaching and
research interests are centered on non-parametric statistics, machine learning, and
data sciences with applications for data analysis in biochemistry and oceanography.
She has published numerous articles in high-quality international journals and
developed Python packages for data analysis (direct to her webpage for further
information).
Organizers:
1. Prof. Anna Dudek (aedudek@agh.edu.pl), Dept. Applied Mathematics, AGH -
University of Krakow
2. Dr. Thi-Tuyet-Trang Chau (thi.tuyet.trang.chau@gmail.com), LSCE/CEA
Saclay - IPSL - University of Paris Saclay

Objective:
The course aims at introducing graduate, Ph.D. students, and researchers in
Applied Mathematics (Statistics) to some topics in time series analysis with missing
and noisy data. These topics include state-space models, non-parametric (data-
driven) estimation, particle filtering and smoothing, and Expectation-Maximization
algorithms. This course additionally enhances programming skills via practical
sessions: participants will numerically explore the potentials of the above
techniques in estimation for time series with missing noisy data, which are
simulated from toy models or derived from real data applications. It will also serve
as a discussion panel to exchange ideas and establish collaborations for
researchers.
Note: For the practical sessions, participants are encouraged to bring their own
laptop with PYTHON installed (essential packages: numpy, matplotlib, scipy,…).

Program:
• Introduction to state-space models (2h).
• Non-parametric forecasting: k-nearest neighbors, local linear regression,
neural networks (3h).
• Particle Filtering and Smoothing (6h).
• Maximum Likelihood Estimations: (Stochastic) Expectation-Maximization
algorithms (3h).
• Applications of non-parametric algorithms to toy models and real data (6h).