MTH3230

Time series and random processes in linear systems ( 6 points, SCA Band 2, 0.125 EFTSL)

Leader: Professor Fima Klebaner

Offered:
Clayton Second semester 2006 (Day)

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 MINITAB.

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

Contact Hours: Three 1-hour lectures and one 1-hour support class per week

Prerequisites: MTH2010 or MTH2032 or MTH222. MTH2222 is highly recommended.

Prohibitions: STA3042