Undergraduate - UnitMTH3230 - Time series and random processes in linear systems

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

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.