EEE 581 Filtering of Stochastic Processes

Most Likely Textbook: Discrete-Time Stochastic Systems: Estimation and Control by T. Soederstroem.

Outline

I. Optimal Estimation

A. Minimum-mean squared error estimators
B. Maximum Likelihood estimators
C. Minimum-mean squared error linear estimators
C. Sequential estimation

II. Filtering of Stationary Processes

A. Spectral factorization
B. Wiener filtering

III. System Models

A. The concept of state
B. Markov processes
C. Linear systems driven by stochastic processes

IV. Optimal State Estimation for Linear Systems

A. Linear mean-square predictor and filter
B. Kalman filter
C. Filter stability and convergence

V. Nonliner Filtering

A. Extended Kalman filter
B. Bayesian filtering
C. Guassian sum estimators