FMSF10/MASC14, 7,5 credits, G2 (First Cycle)

FMSF10: Course code LTH
MASC14: Course code Faculty of science

General Information

Compulsory for: Pi3
Elective Compulsory for: MWIR1
Elective for: BME4-sbh, C4-ks, D4-bg, D4-ssr, D4-mai, E4-ss, E4-bg, F4, F4-bg, F4-bm, F4-fm, F4-r, F4-ss, F4-mai, I4-fir, M4, MMSR2, R4
Language of instruction: The course will be given in English

Contents

Models for stochastic dependence.
Concepts of description of stationary stochastic processes in the time domain: expectation, covariance, and cross-covariance functions.
Concepts of description of stationary stochastic processes in the frequency domain: effect spectrum, cross spectrum.
Special processes: Gaussian process, Wiener process, white noise, Gaussian fields in time and space.
Stochastic processes in linear filters: relationships between in- and out-signals, auto regression and moving average (AR, MA, ARMA), derivation and integration of stochastic processes.
The basics in statistical signal processing: estimation of expectations, covariance function, and spectrum.
Application of linear filters: frequency analysis and optimal filters.

Examination details

Grading scale: TH - (U,3,4,5) - (Fail, Three, Four, Five)
Assessment: Written exam and compulsory computer exercises.

The examiner, in consultation with Disability Support Services, may deviate from the regular form of examination in order to provide a permanently disabled student with a form of examination equivalent to that of a student without a disability.

Parts
Code: 0115. Name: Examination.
Credits: 6. Grading scale: TH. Assessment: Written examination.
Code: 0215. Name: Laboratory part 1.
Credits: 0,5. Grading scale: UG. Assessment: The first computer exercise
Code: 0315. Name: Laboratory part 2.
Credits: 1. Grading scale: UG. Assessment: The rest of the computer exercises

Admission

A basic course in mathematical statistics; or both multivariate analysis and linear algebra
FMAA20 Linear Algebra with Introduction to Computer Tools or FMAA21 Linear Algebra with Numerical Applications or FMAB20 Linear Algebra or FMSF20 Mathematical Statistics, Basic Course or FMSF25 Mathematical Statistics - Complementary Project or FMSF32 Mathematical Statistics or FMSF45 Mathematical Statistics, Basic Course or FMSF50 Mathematical Statistics, Basic Course or FMSF55 Mathematical Statistics, Basic Course or FMSF70 Mathematical Statistics or FMSF75 Mathematical Statistics, Basic Course or FMSF80 Mathematical Statistics, Basic Course
FMAB30 Calculus in Several Variables or FMAB35 Calculus in Several Variables or FMSF20 Mathematical Statistics, Basic Course or FMSF25 Mathematical Statistics - Complementary Project or FMSF32 Mathematical Statistics or FMSF45 Mathematical Statistics, Basic Course or FMSF50 Mathematical Statistics, Basic Course or FMSF55 Mathematical Statistics, Basic Course or FMSF70 Mathematical Statistics or FMSF75 Mathematical Statistics, Basic Course or FMSF80 Mathematical Statistics, Basic Course

Assumed prior knowledge: A basic course in mathematical statistics and knowledge in complex and linear analysis.
The number of participants is limited to: No
The course overlaps following course/s: FMS045, FMS047, MASC04

Reading list

Lindgren, G., Rootzén, H., Sandsten, M.: Introduction to Stationary Stochastic Processes: Applications in Science and Engineering. Chapman & Hall, 2013, ISBN: 9781466586185.

Contact and other information

Director of studies: studierektor@matstat.lu.se

Further information: The course may not be included together with FMS045 or FMS047.