Mathematical Statistics: Stationary Stochastic Processes

Gain tools and models to describe and manage random processes whose dependency structures remain constant over time. You will learn concepts such as expectation, covariance, and spectrum, and how these can be applied in areas like signal processing, economics, and biology. The course is mandatory for the Master’s program in Mathematical statistics at Lund University, but it can also be chosen as an elective in other programs or taken as a standalone course.

The course consists of lectures, exercises, and laboratory sessions. The labs are mandatory and provide practical experience with the course theories. You will learn to perform calculations involving expectation, variance, covariance, and cross-covariance within and between different stationary processes. You will also gain knowledge on how to design linear filters using covariance and spectral properties. The course covers special processes such as the normal process, Wiener process, and white noise, as well as how stochastic processes behave in linear filters.

Assessment is through a written exam at the end of the course and computer-based lab assignments during the course. To pass, you must complete both the exam and the lab assignments.

Prerequisites

General eligibility and knowledge corresponding to MASA02 Mathematical statistics: Basic course, 15 ECTS (the courses MASB13 Mathematical Statistics for Physicists 7.5 ECTS, and MASB02 Mathematical Statistics for Chemists 7.5 ECTS, are also valid for eligibility). English course 6/B.

Selection criteria

Seats are allocated according to: The general average (GPA) of your higher secondary school leaving certificate: 20 %, The Swedish national university aptitude test: 10 %, number of previous ECTS at application deadline (up to 165): 70 %.

Tuition fees for non-EU/EEA citizens

Citizens of countries outside:

• The European Union (EU)
• The European Economic Area (EEA) and
• Switzerland

are required to pay tuition fees. You pay an instalment of the tuition fee in advance of each
semester.

Tuition fees, payments and exemptions

Full programme/course tuition fee: SEK 23,125
First payment: SEK 23,125

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Note that you may also need to pay an application fee, or provide proof of exemption.

Application fee

No tuition fees for citizens of the EU, EEA and Switzerland

There are no tuition fees for citizens of the European Union (EU), the European Economic Area (EEA) and Switzerland.