Electrical Engineering : Basic notions. Linear state space (SS) systems. Least squares estimation and prediction: conditional expectations; Orthogonal Projection Theorem. Kalman filtering; innovations; Riccati equation. ARMA and SS systems. Stationary processes; Wold decomposition; spectral factorization; Weiner filtering. The Weiner process; linear stochastic differential equations; continuous time filtering. Chapman-Kolmogorov, Fokker-Plank equations. Applications.
Terms: Winter 2014
Instructors: Peter Edwin Caines (Winter)