Note: This is the 2020–2021 eCalendar. Update the year in your browser's URL bar for the most recent version of this page, or .
Overview
Electrical Engineering : Electrical Engineering: Basic notions. Linear state space (SS) systems. Least squares estimation and prediction: conditional expectations; Orthogonal Projection Theorem. Kalman filtering; Riccati equation. ARMA systems. Stationary processes; Wold decomposition; spectral factorization; Wiener filtering. The Wiener processes; stochastic differential equations. Chapman-Kolmogorov, Fokker-Plank equations. Continuous time nonlinear filtering. Particle filters. Applications.
Terms: This course is not scheduled for the 2020-2021 academic year.
Instructors: There are no professors associated with this course for the 2020-2021 academic year.
