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MATH 546 - Introduction to Time Series

Course Description: 

Properties of stationary, random processes; standard discrete parameter models, autoregressive, moving average, harmonic; standard continuous parameter models. Spectral analysis of stationary processes, relationship between the spectral density function and the autocorrelation function; spectral representation of some stationary processes; linear transformations and filters. Introduction to estimation in the time and frequency domains.

Credit: 

(3-0-3)

Prerequisite: 

[(ECE 511 with min. grade of C) OR (MATH 475 with min. grade of C)]

Corequisite: 

None