Kalman and Adaptive Filtering

Least-squares estimation for processes with state-space models. Wiener filters and spectral factorization. Kalman filters, smoothing and square-root algorithms. Steady-state filters. Extended Kalman filters for non-linear models. Fixed-order and order-recursive adaptive filters.

Units: 

4

Prerequisites: 

Stochastic Processes in Engineering

Course Number: 

ECE248