LEC # | TOPICS | KEY DATES |
---|---|---|

1 | Review of Linear Systems, Review of Stochastic Processes, Defining a General Framework | |

2 | Review of Linear Systems, Review of Stochastic Processes, Defining a General Framework (cont.) | |

3 | Introductory Examples for System Identification | Problem set 1 out |

4 | Introductory Examples for System Identification (cont.) | |

5 | Nonparametric Identification | |

6 | Nonparametric Identification (cont.) | Problem set 1 due |

7 | Input Design, Persistence of Excitation, Pseudo-random Sequences | Problem set 2 out |

8 | Input Design, Persistence of Excitation, Pseudo-random Sequences (cont.) | |

9 | Least Squares, Statistical Properties | |

10 | Least Squares, Statistical Properties (cont.) |
Problem set 2 due Problem set 3 out |

11 | Parametrized Model Structures, One-step Predictor, Identifiability | |

12 | Parametrized Model Structures, One-step Predictor, Identifiability (cont.) | |

13 | Parameter Estimation Methods, Minimum Prediction Error Paradigm, Maximum Likelihood |
Problem set 3 due Problem set 4 out |

14 | Parameter Estimation Methods, Minimum Prediction Error Paradigm, Maximum Likelihood (cont.) | |

15 | Convergence and Consistency, Informative Data, Convergence to the True Parameters | |

16 | Convergence and Consistency, Informative Data, Convergence to the True parameters (cont.) | Problem set 4 due |

17 | Asymptotic Distribution of PEM | |

18 | Asymptotic Distribution of PEM (cont.) | |

19 | Instrumental Variable Methods, Identification in Closed Loop, Asymptotic Results | |

20 | Instrumental Variable Methods, Identification in Closed Loop, Asymptotic Results (cont.) | Problem set 5 out |

21 | Computation, Levinson Algorithm, Recursive Estimation | |

22 | Computation, Levinson Algorithm, Recursive Estimation (cont.) | |

23 | Identification in Practice, Error Filtering, Order Estimation, Model Structure Validation, Examples | Problem set 5 due |

24 | Identification in Practice, Error Filtering, Order Estimation, Model Structure Validation, Examples (cont.) |

## Calendar

## Course Info

##### Instructor

##### Departments

##### As Taught In

Spring
2005

##### Level

##### Topics

##### Learning Resource Types

*notes*Lecture Notes