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Matematikcentrum

Lunds universitet

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Stationary Stochastic Processes

News HT 2019

Registration for computer exercise 1.

Note the session you have signed up for. This is the only one you are allowed to attend! Also make sure you have passed the preparations in Mozquizto at latest Monday September 16 23.00! For further information see below under Computer exercises. Make sure that you use the link below under Computer exercises for your login to Mozquizto! Otherwise you will not find the test.

 

The first lecture is Monday September 2 13.15 in MH:Riesz. Welcome!

Course contents

Stochastic processes find applications in a wide variety of fields and offer a refined and powerful framework to examine and analyse time series. This course presents the basics for the treatment of stochastic signals and time series. For a stochastic process to be stationary, the mechanism of the generation of the data should not change with time. Mathematical tools for processing of such data is covariance and spectral analysis, where different models could be used.  Some usual models are autoregressive (AR) and moving average (MA) processes. For appropriate modelling, we need reliable estimation of covariance functions and spectral densities.  Linear filtering, differentiation and integration of stationary stochastic processes are other important parts of this course. 

Schedule

Lectures (2 times a week) 

Lectures, covering the different chapters of the course are given Mondays 13.15-15.00 and Tuesdays 10.15-12.00 in MH:Riesz.  

 

Lectures with preliminary schedule

  1. Mon Sept 2 13.15-15.00 Lecture 1, Ch. 1, 2.1, 2.2, 2.3.2, 2.3.3, 2.6 Example1-with-sound.mp4, Example1.pdf, Example2-5.pdf
  2. Tue Sept 3 10.15-12.00 Lecture 2, Ch. 2.3.1, 2.2.3, 2.5.1, 2.5.2, (2.5.3)  Example2-with-sound.mp4, Example2.pdf, Example3-5.pdf      
  3. Mon Sept 9 13.15-15.00 Lecture 3, Ch. 5.1, 5.2, 4.1, 4.2.2, 4.2.3  Example5.pdf, Example3-with-sound.mp4Example3.pdf
  4. Tue Sept 10 10.15-12.00 Lecture 4, Ch. 4.2.3, 2.4, 4.2.4, 4.3.1, (4.3.2), 9.3  Example4-with-sound.mp4, Example4.pdf, Example4-5.pdf
  5. Mon Sept 16 13.15-15.00 Lecture 5, Ch. 4.4, (4.5.1) Example5-5.pdf
  6. Tue Sept 17 10.15-12.00 Lecture 6, Ch. 9.1, 9.2, 9.4, 9.5.2, (9.5.3) Example6-5.pdf
  7. Mon Sept 23 13.15-15.00 Lecture 7, Ch. 6.1, 6.2 Example6.pdf
  8. Tue Sept 24 10.15-12.00 Lecture 8, Ch. (6.3.1), 6.3.2, (6.4), 6.5, 9.5.4 Example5.pdf
  9. Tue Oct 1 10.15-12.00 Lecture 9, Ch. 7.1, 7.2, (7.3) Example7.pdf, Example8.pdf
  10. Mon Oct 7 13.15-15.00 Lecture 10, Ch.  8.4, 8.5
  11. Mon Oct 14 13.15-15.00 Summary and old exam exercises

 

Weekly Exercise schedule

The exercises are found in the course book and and the solution manual is included below under 'Course material'. The extra exercises numbered with X1, X2 …  with solutions are found in the Xtra exercises below together with a useful table of formulas. The exercises are marked with three levels: (-1) if you have forgot some of the prior knowledge or need extra training, (0) should be computed by everyone, (+1) if you are fast and want highest grade of the exam.    


  1. Week 1: (September 2 - September 6) 2.1(-1), 2.2(-1), 2.3(0), 2.4(+1), 2.6(0), 2.8(0), 2.9(0), 2.10(+1), 2.11(0), 2.12(0), 2.13(+1), 2.14(0), 2.15(0), 2.16(+1), 2.18(0).
  2. Week 2: (September 9 - September 13) 5.1(0), 5.2(0), 4.1(-1), 4.2(0), 5.3(+1), 4.3(0), 4.4(0), 4.5(0), 4.6(0), 4.7(0), X1(0), X2(0), X3(-1), 4.9(+1).
  3. Week 3: (September 16 - September 20) 4.10(0), 4.11(0), X4(0), X5(+1), X6(0), X7(+1), 9.1(+1), 9.2(+1), 9.3(0), X8(0), X9(0), 9.4(+1), 9.5(0), X10(0).  
  4. Week 4: (September 23 - September 27) ): X11(-1), X12(0), 6.1(0), 6.2(0), 6.3(0), 6.4(+1),  X13(0), X14(+1), 6.7(-1), 6.8(-1), X15(0), X16(0), X17(+1), 6.9(0), 6.10(0), X18(+1). 
  5. Week 5: (September 30 - October 4) 7.1(0), 7.2(-1), X19(0), X20(0), X21(0), 7.4(+1), 7.5(+1), 7.6(0), X22(-1), X23(0), 7.7(0), 7.8(-1), X24(0), X25(0), 7.9(+1), 7.10(+1), 7.13(+1). 
  6. Week 6: (October 7 - October 11) X26(0), X27(0), X28(+1), X29(0), 8.9(0), X30(+1), 8.2(0), 8.3(0), 8.4(+1), 8.5(0), X31(0), 8.7(+1), X32(+1).       
  7. Week 7: (October 14 – October 18) Review and old exams, see below.

Question Times 

  • Thu Sept 5 8.15-10.00, MH:229: Thu Sept 5 13.15-15.00, MH:227: Fri Sept 6 13.15-15.00, MH:229.
  • Thu Sept 12 8.15-10.00, MH:229: Thu Sept 12 13.15-15.00, MH:227: Fri Sept 13 13.15-15.00, MH:229.
  • Thu Sept 19 8.15-10.00, MH:229: Thu Sept 19 13.15-15.00, MH:227: Fri Sept 20 13.15-15.00, MH:229.
  • Thu Sept 26 8.15-10.00, MH:229: Thu Sept 26 13.15-15.00, MH:227: Fri Sept 27 13.15-15.00, MH:229.
  • Thu Oct 3 8.15-10.00, MH:229: Thu Oct 3 13.15-15.00, MH:227: Fri Oct 4 13.15-15.00, MH:229.
  • Thu Oct 10 8.15-10.00, MH:229: Thu Oct 10 13.15-15.00, MH:227: Fri Oct 11 13.15-15.00, MH:229.
  • Thu Oct 17 8.15-10.00, MH:229: Thu Oct 17 13.15-15.00, MH:227: Fri Oct 18 13.15-15.00, MH:229.

 

Additional Question Times for the Exam

Thu Oct 24 13.15-15.00, MH:227

Tue Oct 29 10.15-12.00, MH:227 (not scheduled in TimeEdit)

Thu Oct 31 10.15-12.00, MH:227 (not scheduled in TimeEdit)

 

Computer exercises (3 occasions) - Mandatory

The computer exercise instructions should be studied and the preparation exercises in Mozquizto should be passed for you to be allowed to attend the computer exercise! The instructions are found here:

Computer exercise 1 Last day for passed in Mozquizto: Sept 16 at 23.00.

Computer exercise 2 Last day for passed in Mozquizto: Sept 30 at 23.00.

Computer exercise 3 Last day for passed in Mozquizto: Oct 14 at 23.00.

During the computer exercise you use Matlab and some additional m-files and data. The extra files are found here. Please load either on beforehand or when starting the exercise.

Scheduled occasions for the exercises. Registration will be opened later.

Computer exercise 1:

  • Tue Sept 17 13.15-15.00 (E:Lo, E:Mars, E:Venus)
  • Tue Sept 17 15.15-17.00 (E:Lo)
  • Wed Sept 18 13.15-15.00 (E:Elg, E:Elgkalv) 
  • Wed Sept 18 15.15-17.00 (E:Elg, E:Elgkalv)
  • Fri Sept 20 10.15-12.00 (E:Satu, E:Uran)

Computer exercise 2:

  • Tue Oct 1 13.15-15.00 (E:Lo, E:Mars, E:Venus)
  • Tue Oct 1 15.15-17.00 (E:Lo)
  • Wed Oct 2 13.15-15.00 (E:Elg, E:Elgkalv)
  • Wed Oct 2 15.15-17.00 (E:Elg, E:Elgkalv)
  • Fri Oct 4 10.15-12.00 (E:Satu, E:Uran)

Computer exercise 3:

  • Tue Oct 15 13.15-15.00 (E:Lo, E:Mars, E:Venus)
  • Tue Oct 15 15.15-17.00 (E:Lo)
  • Wed Oct 16 13.15-15.00 (E:Elg, E:Elgkalv)
  • Wed Oct 16 15.15-17.00 (E:Elg, E:Elgkalv)
  • Fri Oct 18 10.15-12.00 (E:Satu, E:Uran)

Course material

The course book 'Stationary stochastic processes for scientists and engineers' by G. Lindgren, H. Rootze'n, M. Sandsten, CRC Press, 2013, ISBN-13: 978-1-4665-8618-5,  is found at KFS studentbokhandel and other book stores. The book cover the whole course and includes the exercises for the tutorials.

Table of formulas 

Solution manual

Xtra exercises

Errata for the book

Exam

The course is concluded with a written exam, Friday November 1, 8.00-13.00, at Victoriastadion, Vic:3.

The exam will be in english. You are allowed to bring a pocket calculator and the table of formulas of this course. You can also bring some small 'high school' table of formulas in mathematics (e.g. TEFYMA). Table of formulas must not contain any marks or comments.

 

 

Contact

Course responsible - Lecturer 

Maria Sandsten

046-222 49 53

Course secretary 

Susann Nordqvist

046-222 85 50

Question hours

Isabella Reinhold, Johan Sievert Lindeskog, Wilhelm Ålander, Kevin Klein

Computer exercises

Isabella Reinhold (coordinator), Maria Juhlin, Kevin Klein, Johan Sievert Lindeskog, Amanda Nilsson, Wilhelm Ålander