CME8217 : Time Series and System Identification
- Offered for Year: 2019/20
- Module Leader(s): Dr Jie Zhang
- Owning School: Engineering
- Teaching Location: Newcastle City Campus
|Semester 2 Credit Value:||10|
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.
|Guided Independent Study||Assessment preparation and completion||10||1:00||10:00||Preparation and completion of report.|
|Scheduled Learning And Teaching Activities||Lecture||20||1:00||20:00||N/A|
|Scheduled Learning And Teaching Activities||Practical||6||3:00||18:00||Computing Labs|
|Scheduled Learning And Teaching Activities||Small group teaching||2||2:00||4:00||Tutuorials|
|Guided Independent Study||Independent study||48||1:00||48:00||Review 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.
The format of resits will be determined by the Board of Examiners
|Written exercise||2||M||100||Assignment 8 pages. Issued week of block module.|
Assessment Rationale And Relationship