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. See the syllabus where it fits into the schedule.
Lecture: part 1 Download Lecture: part 1
Lecture: part 2 Download Lecture: part 2
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.