TKK / Institute of Mathematics / teaching /

Mat-1.3604 Stationary processes, autumn 2007

The course is lectured in English.

Prerequisites (recommended):
Mat-1.3601 Introduction to stochastics
Mat-2.3111 Stochastic processes

Contents:

1. Stochastic Processes
2. Gaussian Processes
3. L² space
4. Second order processes
5. Spectral analysis of stationary processes
6. Applications to time series modelling, filtering, prediction, estimation

Lectures: Mon 9-12, U322 and Tue 9-12, U322 (from Sep 10th to Oct 16th)

Professor Esko Valkeila

Exams: Fri Oct 26th 13-16, hall M

Exercises: Thu 14-16 Y227 (from Sep 13th to Oct 18th)

Assistant Heikki Tikanmäki (Office hour Thu 13.30-14)

Exercise 1
Exercise 2
Exercise 3
Exercise 4
Exercise 5
Exercise 6

Course material:

• Todorovic P., An Introduction to Stochastic Processes and Their Applications, Springer 1992. (The lectures are mainly based on this book)
• Lindgren G., Lectures on Stationary Stochastic Processes; a course for PhD students in mathematical statistics and other fields, 1999. (More resent version here).