2.687 Time Series Analysis and System Identification


Class Info

Covers matched filtering, power spectral (PSD) estimation, and adaptive signal processing / system identification algorithms. Algorithm development is framed as an optimization problem, and optimal and approximate solutions are described. Reviews time-varying systems, first and second moment representations of stochastic processes, and state-space models. Also covers algorithm derivation, performance analysis, and robustness to modeling errors. Algorithms for PSD estimation, the LMS and RLS algorithms, and the Kalman Filter are treated in detail.

This class has 6.011, and 18.06 as prerequisites.

2.687 will be offered this semester (Fall 2017). It is instructed by J. C. Preisig and Woods Hole Staff.

This class counts for a total of 12 credits. This is a graduate-level class.

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MIT 2.687 Time Series Analysis and System Identification Related Textbooks
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