Prerequisite/Recommended prerequisite for participation in the module

Solid knowledge in probability, statistics, linear algebra, Fourier theory, and programming

Content, progress and pedagogy of the module

Learning objectives

Knowledge

• Have knowledge about the theoretical framework in which stochastic processes are defined
• Be able to understand the properties of the stochastic processes introduced in the course, such as white-sense stationary (WSS) processes, Auto Regressive Moving Average (ARMA) processes, Markov models, and Poisson point processes
• Be able to understand how WSS process are transformed by linear-invariant systems
• Be able to understand the theoretical context around the introduced estimation and detection methods ((non-parametric and parametric) spectral estimation, Linear Minimum Mean Square Error (LMMSE) estimation, Wiener filter, Kalman filter, detection of signals, ARMA estimation, etc.)

Skills

• Be able to apply the stochastic processes taught in the course to model real random mechanisms occurring in engineering problems.
• Be able to simulate stochastic processes using a standard programming language.
• Be able to apply the taught estimation and detection methods to solve engineering problems dealing with random mechanisms.
• Be able to evaluate the performance of the introduced estimation and detection methods

Competences

• Have the appropriate “engineering” intuition of the basics concepts and results related to stochastic processes that allow – for a particular engineering problem involving randomness – to design an appropriate model, derive solutions, assess the performance of these solutions, and possibly modify the model, and all subsequent analysis steps, if necessary.

Type of instruction

The program is based on a combination of academic, problem-oriented and interdisciplinary approaches and organized based on the following work and evaluation methods that combine skills and reflection: • lectures • classroom instruction • project work • workshops • exercises (individually and in groups) • teacher feedback • reflection • portfolio work

Extent and expected workload

Since it is a 5 ECTS course module, the work load is expected to be 150 hours for the student

Exam

Exams

Name of exam	Stochastic Processes
Type of exam	Written or oral examination
ECTS	5
Permitted aids	With certain aids, see list below Unless otherwise stated in the course description in Moodle, it is permitted to bring all kinds of (engineering) aids including books, notes and advanced calculators. If the student brings a computer, it is not permitted to have access to the Internet and the teaching materials from Moodle must therefore be down loaded in advance on the computer. It is emphasized that no form of electronic communication must take place.
Assessment	7-point grading scale
Type of grading	Internal examination
Criteria of assessment	As stated in the Joint Programme Regulations. http:/​/​www.engineering.aau.dk/​uddannelse/​studieadministration/​