| 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.) |