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Vue d'ensemble
G茅nie 茅lectrique : 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: This course is not scheduled for the 2016-2017 academic year.
Instructors: There are no professors associated with this course for the 2016-2017 academic year.