Prashantt492: Creating course page via bot

2026-03-04T10:03:01Z

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{{Infobox Course
| code = ELL705
| name = Stochastic Filtering and Identification
| credits = 3
| credit_structure = 3-0-0
| pre_requisites = ELL701 or ELL333
| overlaps =
}}

== ELL705 : Stochastic Filtering and Identification ==
MMSE estimation including LMS, Gaussian case. Wiener filtering & prediction. Kalman filtering & prediction. Extended Kalman filtering. Predictors for difference equation based models including ARMA, Box Jenkins & others. Statistical properties of Least Squares estimation and its relationship with Bayes estimation (ML, MAP), convergence analysis, CR bound. Recursive Least Squares, Iterative methods for nonlinear Least Squares. Identification problem: Different approaches for linear dynamical systems. Offline identification methods including Least Squares, Prediction error framework, Pseudo-linear regression (PLR) & Instrument variable methods. Recursive Identification of linear dynamical system: RLS, PLR, Prediction error framework & its application to ARMA & Innovations representation. Convergence Analysis of Recursive Identification methods: Associated ODE, Martingale. Nonlinear system identification. Subspace based method of system identification. Applications including LQG and adaptive control.

ELL705 - Revision history

Prashantt492: Creating course page via bot