Topics of week 5 are covered in the course book by the following chapters:

6.3.1, 6.3.2, (6.4), 6.5, 9.5.4, 7.1, 7.2.1, 7.2.2

and the exercises

6.7(-1), 6.8(-1), X19(0), X20(0), 6.9(0), 6.10(0), X22(+1), X24(0), X25(0), 7.4(+1), 7.5(+1), 7.1(0), 7.2(0), X23(0), 7.6(0)

An mp4-video (10-20 minutes) with slides presents the topic, where the corresponding slides also are included as a separate pdf-file. A number of suitable exercises is listed.

The numbered exercises are found in the course book and the exercises X1, X2 … are found in additional exercises (exercises and solutions). Solutions of the course book exercises are found in the solutions manual. The exercises are marked with three levels: (-1) if you have forgotten some of the prior knowledge or need extra training, (0) to be computed by everyone, (+1) if you like challenges.

Differentiation of stationary stochastic processes: 6.7(-1), 6.8(-1), X19(0), X20(0)

Derivative_stok_proc.mp4 W5_derivative_stok_proc.pdf

Cross-spectrum and coherence spectrum: 6.9(0), 6.10(0), X22(+1)

Cross_spectrum.mp4 W5_cross_spectrum.pdf

Introduction to MA-processes: X24(0), X25(0), 7.4(+1), 7.5(+1)

Intro_MA_proc.mp4 W5_intro_MA_proc.pdf

Introduction to AR-processes: 7.1(0), 7.2(0), X23(0), 7.6(0)

Intro_AR_proc.mp4 W5_intro_AR_proc.pdf

AR-processes - the Yule-Walker equations: (example with detailed solution)

Ex_cov_AR_proc.mp4 W5_ex_cov_AR_proc.pdf