CME8217 : Time Series and System Identification

Semester 2 Credit Value: 10
ECTS Credits: 5.0


To provide students with an understanding of methods for analysing time series data, modelling time series data, forecasting techniques, interpretation of analyses, and system identification.

This module provides an introduction to time series analysis and data based modelling of dynamic systems.

Outline Of Syllabus

The objectives of time series analysis. Classification of time series and models of time series data. Descriptive models. Trends, seasonal and periodic effects. Stationarity and Ergodicity. Correlograms. ARMA processes. Differencing and ARIMA models. Forecasting and simulation. Cross correlation analysis and system identification. Input sequences for identification. MATLAB representation of continuous and discrete time systems. Lease squares estimation. Prediction error method, Output error method, and Instrumental variable method for system identification. Noise model. Model validation. Recursive least squares and adaptive system identification. Use of MATLAB and its Toolboxes for system identification.

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Scheduled Learning And Teaching ActivitiesLecture201:0020:00N/A
Guided Independent StudyAssessment preparation and completion101:0010:00Preparation and completion of report.
Scheduled Learning And Teaching ActivitiesPractical63:0018:00Computing Labs
Scheduled Learning And Teaching ActivitiesSmall group teaching22:004:00Tutuorials
Guided Independent StudyIndependent study481:0048:00Review lecture material and prepare for small group teaching.
Teaching Rationale And Relationship

Lectures convey the underlying mathematical principles of time series analysis, dynamic system identification, and model validation. Practicals (computing laboratories) aid the understanding of materials taught in the lectures. Tutorials address the problem in understanding the taught material on individual basis.

Assessment Methods

The format of resits will be determined by the Board of Examiners

Other Assessment
Description Semester When Set Percentage Comment
Written exercise2M100Assignment 8 pages. Issued week of block module.
Assessment Rationale And Relationship


Reading Lists