Random variables, Gaussian Processes, Covariance and Correlation Function, Maximum Likelihood, Matrix norms, definiteness, decompositions and calculus, State Space representations of linear systems, controllability, observability, stability, parametric differentiation, discrete-systems; Linear least squares, Nonlinear least squares estimation, Maximum likelihood estimation, Bayesian estimation; Linear Kalman Filter (continuous, discrete, hybrid), Neighboring Optimal Linear Estimator, Extended Kalman Filter for nonlinear systems, Factorization methods, colored-noise Kalman filtering, Adaptive filtering, and Robust filtering, Batch state estimation, Fixed interval smoothing (continuous, discrete, nonlinear), Innovations Processes; Covariance Decompositions, Smoothing Algorithms, Unscented Kalman Filtering, Particle Filter.
Suggested Text:
- Optimal Estimation of Dynamic Systems by J. L. Crassidis and J. L. Junkins