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

This unit entry is for students who completed this unit in 2012 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

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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, or view unit timetables.

Level	Undergraduate
Faculty	Faculty of Science
Offered	Clayton Second semester 2012 (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.