MTH3230 Time series and random processes in linear systems
Faculty of Science
MTH3230 Time series and random processes in linear systems is a level 3, 6-credit-point, undergraduate unit from the Faculty of Science, offered in 2021 in Semester 2 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2021
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
This is the 2021 handbook entry. See the 2027 entry.
Reviews
No reviews yetNo reviews yet. Be the first to review MTH3230.
Requisites
Before MTH3230
No prerequisites or corequisites besides the enrolment rules below.
After MTH3230
No unit lists MTH3230 as a prerequisite in the 2021 handbook.
Overview
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.
Offerings in 2021
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- In-semester assessmentThreshold hurdle40%
- Examination (3 hours and 10 minutes)Threshold hurdle60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
Articulate the concept of stationary time series;
- 2
Manipulate the concept of projection and its use in forecasting;
- 3
Understand the models of autoregression and moving averages and their combinations;
- 4
Analyse time series in time domain as well as frequency domain;
- 5
Apply the Kalman filter to random systems;
- 6
Analyse time series data using the ITSM package.
Workload and teaching
- Lectures36 hours
- Applied sessions16.5 hours
- Teaching approachActive learning
- Three 1-hour lectures and
- One 1.5-hour applied class per week (in weeks 2-12)
Active learning will occur in lectures and applied classes.
Where it fits
MTH3230 is part of 7 areas of study in the 2021 handbook.
- APPLMTH07Additional extended major elective unitsApplied mathematicsNo reviews yet
- FININMAT03Level 2 and 3 core unitsFinancial and insurance mathematicsNo reviews yet
- MTHSTAT05Level 3 unitsMathematical statisticsNo reviews yet
- MTHSTAT07Level 2 and 3 unitsMathematical statisticsNo reviews yet
- MATHS09Mathematics elective unitsMathematicsNo reviews yet
- MATHS11Mathematics elective unitsMathematicsNo reviews yet
- MATPURE07Pure mathematics elective unitsPure mathematicsNo reviews yet
Contacts
- Chief Examiners
- Associate Professor Tianhai Tian
- Unit Coordinators
- Associate Professor Tianhai Tian
Common questions
What are the prerequisites for MTH3230?
MTH3230 has no prerequisites, but enrolment rules apply.
When is MTH3230 offered?
In 2021, MTH3230 runs in Semester 2 at Clayton.
Does MTH3230 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.
Which majors and minors include MTH3230?
MTH3230 is part of Applied mathematics; Financial and insurance mathematics; Mathematical statistics; Mathematics; and Pure mathematics.