MTH3230 - Time series and random processes in linear systems
6 points, SCA Band 0 (NATIONAL PRIORITY), 0.125 EFTSL
Undergraduate Faculty of Science
Leader(s): Professor Fima Klebaner
Offered
Clayton Second semester 2009 (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 ITSM.
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