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EE 5730: Random Signal Analysis and Kalman Filtering

(Cross-listed with AERE 5730/ ME 5730).
Credits: 3. Contact Hours: Lecture 3.

Elementary notions of probability. Random processes. Autocorrelation and spectral functions. Estimation of spectrum from finite data. Response of linear systems to random inputs. Discrete and continuous Kalman filter theory and applications. Smoothing and prediction. Linearization of nonlinear dynamics. (Typically Offered: Fall)