The course offers fundamental knowledge in the field of time series analysis and its applications in various domains, most notably financial and telecommunication engineering. The students formalize the concept of a time series through the notion of a discrete-time signal, they get acquainted with systems for processing discrete-time signals, basic transforms of discrete-time signals as well as digital filters. The students also learn about basic models of time series and their respective properties.

The students will learn basic signal processing algorithms and principal transforms of analog and discrete signals. They will get acquainted with discrete signals and digital filters through specific examples, and will be able to design systems for discrete-time signal processing using appropriate software tools. Based on the knowledge obtained within the course, they will be able to analyze a given problem, select an appropriate method of signal processing and implement it. In the computer lab they will obtain practical experience with Matlab DSP Toolbox.

Analog and discrete-time signals. Practical aspects of sampling. Transformations of analog and discrete signals and relations between them. Laplace and z-transform. Fourier transform of analog and discrete-time signal. Discrete-time systems and difference equations. Examples of digital FIR and IIR filters, their properties and methods of their design. An introduction to time series modelling. Stationary processes.

The lectures are continuously followed by synchronized oral and computer exercises. Oral exercises contain practical problem solving sessions principally related to discrete-time signal processing. In the computer lab students obtain practical experience with signal processing software tools. Through the teaching process, students are constantly motivated to an intensive discussion, problem oriented reasoning, independent study work and active participation in the whole lecturing process. The prerequisite to enter the final exam is to complete the pre-exam assignments by earning at least 10 points.