Part 2 - Spectral representations and filtering

This lecture aims at introducing the spectral representation of a stochastic process, filtering of a stochastic process, as well as the basic stochastic processes AR, MA, and ARMA. To simplify, the online lectures have been divided in two parts each, which should be viewed one after the other.

Lecture

This lecture will only be offer as an online lecture.  This second lecture should be covered by Nov 9. The covered material will be required to complete the (mandatory) lab on stochastic processes.

Lecture: part 1 Download Lecture: part 1Play media comment.

Lecture: part 2Play media comment.

The slides for the lectures are available here.

Reading

The material covered in these lectures can be found in the book by Lindgren, Rootzén, and Sandsten which can be found here. The material is covered in Chapter 4.1-4.3, 5.1, 5.2, 6.1, 6.2. 7.1-7.3. If you plan to take the course on time series analysis, you can find the material covered in Chapter 3 of the textbook used for that course.