Calendar

LEC # TOPICS KEY DATES
1 Review of Linear Systems, Review of Stochastic Processes, Defining a General Framework
2 Review of Linear Systems, Review of Stochastic Processes, Defining a General Framework (cont.)
3 Introductory Examples for System Identification Problem set 1 out
4 Introductory Examples for System Identification (cont.)
5 Nonparametric Identification
6 Nonparametric Identification (cont.) Problem set 1 due
7 Input Design, Persistence of Excitation, Pseudo-random Sequences Problem set 2 out
8 Input Design, Persistence of Excitation, Pseudo-random Sequences (cont.)
9 Least Squares, Statistical Properties
10 Least Squares, Statistical Properties (cont.)

Problem set 2 due

Problem set 3 out
11 Parametrized Model Structures, One-step Predictor, Identifiability
12 Parametrized Model Structures, One-step Predictor, Identifiability (cont.)
13 Parameter Estimation Methods, Minimum Prediction Error Paradigm, Maximum Likelihood

Problem set 3 due

Problem set 4 out
14 Parameter Estimation Methods, Minimum Prediction Error Paradigm, Maximum Likelihood (cont.)
15 Convergence and Consistency, Informative Data, Convergence to the True Parameters
16 Convergence and Consistency, Informative Data, Convergence to the True parameters (cont.) Problem set 4 due
17 Asymptotic Distribution of PEM
18 Asymptotic Distribution of PEM (cont.)
19 Instrumental Variable Methods, Identification in Closed Loop, Asymptotic Results
20 Instrumental Variable Methods, Identification in Closed Loop, Asymptotic Results (cont.) Problem set 5 out
21 Computation, Levinson Algorithm, Recursive Estimation
22 Computation, Levinson Algorithm, Recursive Estimation (cont.)
23 Identification in Practice, Error Filtering, Order Estimation, Model Structure Validation, Examples Problem set 5 due
24 Identification in Practice, Error Filtering, Order Estimation, Model Structure Validation, Examples (cont.)