Some very useful functions are actually missing in the statistical software R and in
this project we can do implementations of some of these functions, and further work
on some ideas to extend classical statistical measures.
The missing functions are effective implementations of several model techniques,
for example semi-parametric regression, recursive quantile regression and some
Kalman filtering approaches.
Further, some ideas for new time series analysis measures and modelling techniques
can be studied. Usually, this can be done using simulations, where the features of
the methodology can be explored.
The outcome of the project can be R functions, which can be shared as open source
software in packages.
Courses in statistics, preferably at least 02417 Time Series Anal- ysis. Programming experience is essential, preferably with R or similar, but also experience with C or C++ is useful.