| |
| Previous course: C0416 |
| Offered by:
Department of Mathematical Modelling
(IMM) |
| No credit points with: C0416 |
| Prerequisite: 04041/C0401/04040/C0410 |
| Recommended semester:
4th -7th semester |
| Scope and form: Lectures and excercises. |
| Examination:
Written exam
(13 point scale
) |
| Remarks: The course provides a good background for a number of activites such as proces control, dynamic simulation, optimal control, analysis of signals and system identification. |
| Contact person: |
Henrik Madsen, IMM, Building 321, Tel. +45 4525 3408 |
|
| Aim: To give a thorough introduction to time series analysis with a special attention to engineering science. A special stress is laid on model formulation and estimation. A main goal is to form the theoretical background for applications within forecasting, automatic and adaptive control, image analysis, econometrics and technometrics. |
| Contents: Linear stochastic processes. Conditional expectations with applications. Characteristics of stochastic processes. Second order analysis. Description in time and frequency domain. Correlation functions and their applications. Model formulation: Non-stationary processes. Time series with periodic variations and trends. Identification, estimation and verification of models for stochastic processes. Box-Jenkins method. Spectral analysis. Bivariate and multivariate time series analysis. Transfer functions with stochastic models. State space formulation, prediction and reconstruction. Kalman filter. Time series with missing observations. Methods for recursive estimation. Adaption methods. Introduction to non-linear stochastic processes. Theoretical results are combined with examples of practical apllications. |
