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MTH3230 - Time series and random processes in linear systems

6 points, SCA Band 2, 0.125 EFTSL

Undergraduate Faculty of Science

Leader: Professor Fima Klebaner


Clayton Second semester 2007 (Day)


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.


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


MTH2010 or MTH2032 or MTH222. MTH2222 is highly recommended.