ELEC-E8107 - Stochastic models, estimation and control D, Lecture, 6.9.2022-7.12.2022
This course space end date is set to 07.12.2022 Search Courses: ELEC-E8107
Lecture 2, Sep 20 & 27: Basic concepts in Estimation, Linear Estimation in Static Systems
Completion requirements
Basic concepts in estimation
Random and nonrandom parameters
Definitions of estimates
• ML Maximum Likelihood
• MAP Maximum A Posteriori
• LS Least Squares
• MMSE Minimum Mean square Error
Measures of quality of estimates
• Unbiased, variance, consistency,the Cramer-Rao lower bound, Fisher information, Efficiency
Linear Estimation in Static Systems
• Minimum Mean Square Error (MMSE)
• MMSE estimation of Gaussian random vectors
• Linear MMSE estimator for arbitrarily distributed random vectors
• LS estimation of unknown constant vectors from linear observations, batch form, recursive form.
• Apply the LS technique