units

MTH3230

Faculty of Science

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Monash University Handbook 2011 Undergraduate - Unit

6 points, SCA Band 0 (NATIONAL PRIORITY), 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

LevelUndergraduate
FacultyFaculty of Science
OfferedClayton Second semester 2011 (Day)
Coordinator(s)Dr Boris Miller

Synopsis

Multivariate distributions. Estimation: maximum of likelihood and method of moments. Confidence intervals. Analysis in the time domain: stationary models, autocorrelation, partial autocorrelation. ARMA and ARIMA models. Analysis in the frequency domain (Spectral analysis): spectrum, periodigram, linear and digital filters, cross-correlations and cross-spectrum, spectral estimators, confidence interval for the spectral density. State-space models. Kalman filter. Empirical Orthogonal Functions and other Eigen Methods. Use of ITSM.

Assessment

Examination (3 hours): 60%
Assignments, tests and participation in tutorials: 40%

Chief examiner(s)

Dr Boris Miller

Contact hours

Three 1-hour lectures and one 1-hour support class per week

Prerequisites

One of MTH2010, MTH2015, MTH2032 or MTH2222. MTH2222 is highly recommended.