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System Identification, Spring 2005
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Mathematical models of systems from observations of their behavior. Time series, state-space, ...

Mathematical models of systems from observations of their behavior. Time series, state-space, and input-output models. Model structures, parametrization, and identifiability. Non-parametric methods. Prediction error methods for parameter estimation, convergence, consistency, andasymptotic distribution. Relations to maximum likelihood estimation. Recursive estimation; relation to Kalman filters; structure determination; order estimation; Akaike criterion; and bounded but unknown noise models. Robustness and practical issues.

Subject:
Computer Science
Material Type:
Full Course
Textbooks
Provider:
M.I.T.
Provider Set:
M.I.T. OpenCourseWare
Author:
Dahleh, Munther