Gäller från och med: Autumn 2020
Beslutad av: Anders Gustafsson / FUN
Datum för fastställande: 2020-05-18
Avdelning: Mathematical Statistics
Kurstyp: Gemensam kurs, avancerad nivå och forskarnivå
Kursen ges även på avancerad nivå med kurskod: FMSF10
Undervisningsspråk: English
The student shall aquire a toolbox containing concepts and models for description and handling of stationary stochastic processes within many different areas, such as, signal processing, automatic control, information theory, economics, biology, chemistry, and medicine. The mathematical and statistical elements are therefore illustrated using a wide variety of examples from different areas of application. The course shall also give the student the ability to identify the presence of stationary processes in other courses in the education, use the knowledge of stationary processes in other courses, and translate the concepts and tools between different courses, building on stationary processes.
Kunskap och förståelse
För godkänd kurs skall doktoranden
Färdighet och förmåga
För godkänd kurs skall doktoranden
Värderingsförmåga och förhållningssätt
För godkänd kurs skall doktoranden
Models for stochastic dependence. Concepts of description of stationary stochastic processes in the time domain: expectation, covariance, and cross-covariance functions. Concepts of description of stationary stochastic processes in the frequency domain: power spectrum, cross spectrum. Special processes: Gaussian process, Wiener process, white noise, Gaussian fields in time and space. Stochastic processes in linear filters: relationships between in- and out-signals, auto regression and moving average (AR, MA, ARMA), derivation and integration of stochastic processes. The basics in statistical signal processing: estimation of expectations, covariance function, and spectrum. Application of linear filters: frequency analysis and optimal filters.
Lindgren, G., Rootzén, H., Sandsten & M.: Introduction to Stationary Stochastic Processes: Applications in Science and Engineering.. Chapman & Hall, 2013. ISBN 9781466586185.
Undervisningsformer: Föreläsningar, laborationer, övningar
Examinationsform: Skriftlig tentamen
Betygsskala: Underkänd, godkänd
Examinator: Professor Maria Sandsten
Förutsatta förkunskaper: A basic course in mathematical statistics and knowledge in complex and linear analysis.
Startdatum: 2020-08-31
Slutdatum: 2020-10-30
Kursfart: Half time
Kursansvarig: Maria Sandsten <maria.sandsten@matstat.lu.se>
Hemsida: http://www.maths.lu.se/kurshemsida/fmsf10masc04/