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 2023 in Semester 2 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2023
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
This is the 2023 handbook entry. See the 2027 entry.
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Requisites
Before MTH3230
No prerequisites or corequisites besides the enrolment rules below.
After MTH3230
No unit lists MTH3230 as a prerequisite in the 2023 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 2023
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- Continuous assessment40%
- 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
- Seminars36 hours
- Applied sessions22 hours
- Teaching approachActive learning
- Three 1-hour seminars;
- One 2-hour applied class (in weeks 2-12) and
- 7 hours of independent study per week.
Active learning will occur in lectures and applied classes.
Where it fits
MTH3230 is part of 7 areas of study in the 2023 handbook.
- APPLMTH07Additional extended major elective unitApplied mathematicsNo reviews yet
- FININMAT04Level 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
- MATPURE11Pure mathematics elective unitsPure mathematicsNo reviews yet
Contacts
- Unit Coordinators
- Associate Professor Tianhai Tian
- Chief Examiners
- 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 2023, 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.