2 687 - Time Series Analysis and System Identification

Institution:

Massachusetts Institute of Technology

Subject:

Description:

Covers matched filtering, power spectral (PSD) estimation, and adaptive signal processing / system identification algorithms. Algorithm development is framed as an optimization problem, and optimal and approximate solutions are described. Reviews time-varying systems, first and second moment representations of stochastic processes, and state-space models. Also covers algorithm derivation, performance analysis, and robustness to modeling errors. Algorithms for PSD estimation, the LMS and RLS algorithms, and the Kalman Filter are treated in detail.

Credits:

3.00

Credit Hours:

Prerequisites:

Prereq: 6.011, 18.06

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

web.mit.edu/student/

Phone Number:

(617) 253-1000

Regional Accreditation:

New England Association of Schools and Colleges

Calendar System:

Four-one-four plan

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