Prof. Gregory Wornell
Prof. Alan Willsky
This course examines the fundamentals of detection and estimation for signal processing, communications, and control. Topics covered include: vector spaces of random variables; Bayesian and Neyman-Pearson hypothesis testing; Bayesian and nonrandom parameter estimation; minimum-variance unbiased estimators and the Cramer-Rao bounds; representations for stochastic processes, shaping and whitening filters, and Karhunen-Loeve expansions; and detection and estimation from waveform observations. Advanced topics include: linear prediction and spectral estimation, and Wiener and Kalman filters.
Wornell, Gregory, and Alan Willsky. 6.432 Stochastic Processes, Detection, and Estimation, Spring 2004. (MIT OpenCourseWare: Massachusetts Institute of Technology), http://ocw.mit.edu/courses/electrical-engineering-and-computer-science/6-432-stochastic-processes-detection-and-estimation-spring-2004 (Accessed). License: Creative Commons BY-NC-SA