Inaugural Lecture: Filtering out the noise: hidden state estimation in engineering and finance, Paresh Date

Professor Date will reflect on his journey, from a provincial college in India, through his scholarship-funded doctoral studies in engineering at the University of Cambridge to his current position at Brunel.

The problem of estimating latent or hidden states of a dynamical system from noisy observed data often arises in many branches of science, including navigation, weather prediction and mathematical finance. ‘Filtering’ refers to any method for obtaining such state estimates, recursively in time, by combining model predictions with noisy observations.

Filtering theory is one of the hidden cornerstones of modern life; most weather prediction, on-board aircraft guidance and GPS based navigation are based on a variety of filtering algorithms.

Professor Date has been working on filtering and its diverse applications for the past two decades.

The inaugural lecture will outline some of his significant contributions related to filtering and prediction in dynamical systems, delving into fascinating applications in accurate forecasting of financial variables such as interest rates and commodity prices.

Professor Date hopes you will join him for a drinks reception after the lecture.

"Hybrid Event: Free of charge and open for all"

Livestream option availiable