ENCS 7200 - Estimation Theory and System Identification (3)

This course provides an introduction to estimation theory and system identification including: estimation methods; hypothesis testing; method of moment’s estimators; Least squares estimators; Maximum likelihood estimators and; Bayesian estimators. Introduction to the system identification; non-parametric and parametric models for identification; parametric estimation and prediction; identification of parametric time series models; AR, MA, ARMA models and, input-output models. Identification of state-space models; Kalman filter and subspace identification methods.