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Syllabus for

Academic year
TMS125 - Random processes
 
Owner: TTFYA
3,0 Credits (ECTS 4,5)
Grading: TH - Five, Four, Three, Not passed
Level: C
Department: 11 - MATHEMATICAL SCIENCES


Teaching language: Swedish

Course module   Credit distribution   Examination dates
Sp1 Sp2 Sp3 Sp4 No Sp
0101 Examination 3,0 c Grading: TH   3,0 c   20 Dec 2006 am V,  14 Apr 2007 pm V,  30 Aug 2007 pm V

In programs

TTFYA ENGINEERING PHYSICS - Fymat, Year 3 (compulsory)
TTFYA ENGINEERING PHYSICS, Year 4 (elective)

Examiner:

Bitr professor  Urban Hjorth



Eligibility:

For single subject courses within Chalmers programmes the same eligibility requirements apply, as to the programme(s) that the course is part of.

Aim

To introduce random process models, powerful tools in the analysis of manytime and space dependent data series.

Goal

The goal is that the participants will understand and be able to apply several different process models.

Content

From a stochastic variable to an infinite set of dependent variables. Basic concepts, orientation about different types av processes. Probability distributions, conditioning and covariances. Convergent sequences of variables. Special processes such as Poisson and Wiener processes, stationary and Gaussian processes, ARIMA models are introduced. Derivatives and integrals of processes. Fitting models to data. The main part treats processes with one-dimensional time parameter and some of these are stationary and can either be analysed as they are in time or be frequency analysed and treated in the spectral domain. Both methods are studied. We also learn to use the dependency for prediction and interpolation.

Organisation

The course is given as lectures and problam solving exercises, possibly with some computer exercise.

Literature

Hjorth, U. Stokastiska processer i tids- och frekvensbeskrivning (in Swedish). The text is normally distributed at the beginning of the course.

Examination

A written or oral exam.


Page manager Published: Mon 28 Nov 2016.