# 2018/2019

## Modulets indhold, forløb og pædagogik

### Læringsmål

#### Viden

• 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 wide-sense stationary (WSS) processes, Auto Regressive Moving Average (ARMA) processes, Markov models, and Poisson point processes.
• Be able to understand how WSS processes are transformed by linear time-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.)

#### Færdigheder

• 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 performances of the introduced estimation and detection methods.

#### Kompetencer

• Have the appropriate “engineering” intuition of the basic 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.

### Undervisningsform

Forelæsninger med tilhørende opgaveregning.

### Omfang og forventet arbejdsindsats

Kursusmodulets omfang er 5 ECTS svarende til 150 timers studieindsats.

## Eksamen

### Prøver

 Prøvens navn Stokastiske processer Prøveform Skriftlig eller mundtlig ECTS 5 Bedømmelsesform Bestået/ikke bestået Censur Intern prøve Vurderingskriterier Som angivet i Fællesbestemmelser for uddannelser (Vurderingskriterier). http:/​/​www.engineering.aau.dk/​uddannelse/​Studieadministration/​

## Fakta om modulet

 Engelsk titel Stochastic Processes Modulkode F-MTK-B5-3 Modultype Kursus Varighed 1 semester Semester Efterår ECTS 5 Tomplads Ja Undervisningssted Campus Aalborg Modulansvarlig Mette Billeskov

## Organisation

 Studienævn Studienævnet for Matematik, Fysik og Nanoteknologi Institut Institut for Matematiske Fag Fakultet Det Ingeniør- og Naturvidenskabelige Fakultet