Prof. Munther Dahleh
This course is offered to graduates and includes topics such as mathematical models of systems from observations of their behavior; time series, state-space, and input-output models; model structures, parametrization, and identifiability; non-parametric methods; prediction error methods for parameter estimation, convergence, consistency, and asymptotic distribution; relations to maximum likelihood estimation; recursive estimation; relation to Kalman filters; structure determination; order estimation; Akaike criterion; bounded but unknown noise model; and robustness and practical issues.
Dahleh, Munther. 6.435 System Identification, Spring 2005. (MIT OpenCourseWare: Massachusetts Institute of Technology), http://ocw.mit.edu/courses/electrical-engineering-and-computer-science/6-435-system-identification-spring-2005 (Accessed). License: Creative Commons BY-NC-SA