Contents:
Introduction – Probability Theory -Random Variables – Function of Random Variable Joint Density – Mean and Variance – Random Vectors Random Processes – Random Processes and Linear Systems – Some Numerical Problems -Miscellaneous Topics on Random Process – Linear Signal Models – Linear Mean Square Error Estimation – Auto Correlation and Power Spectrum Estimation – Z-Transform Revisited Eigen Vectors/Values

The Concept of Innovation – Last Squares Estimation Optimal IIR Filters – Introduction to Adaptive FIlters-State Estimation – Kalman Filter – Model and Derivation I – Estimator Properties-The Time-Invariant Kalman Filter – Kalman Filte r- Case Study – System identification Introductory Concepts – Linear Regression – Recursive Least Squares – Variants of LSE-Least Square Estimation – Model Order Selection Residual Tests – Practical Issues in Identification – Estimation Problems in Instrumentation and Control

### Course Curriculum

 Introduction Details 43:22 Probability Theory Details 46:3 Random Variables Details 53:26 Function of Random Variable Joint Density Details 55:6 Mean and Variance Details 54:11 Random Vectors Random Processes Details 48:38 Random Processes and Linear Systems Details 46:49 Some Numerical Problems Details 54:25 Miscellaneous Topics on Random Process Details 51:14 Linear Signal Models Details 58:37 Linear Mean Square Error Estimation Details 54:38 Auto Correlation and Power Spectrum Estimation Details 45:22 Z-Transform Revisited Eigen Vectors/Values Details 52:8 The Concept of Innovation Details 53:33 Last Squares Estimation Optimal IIR Filters Details 50:48 Introduction to Adaptive FIlters Details 47:46 State Estimation Details 53:49 Kalman Filter-Model and Derivation – I Details 50:9 Kalman Filter-Model and Derivation – II Details 54:8 Estimator Properties Details 49:1 The Time-Invariant Kalman Filter Details 52:26 Kalman Filter-Case Study Details 53:59 System identification Introductory Concepts Details Linear Regression-Recursive Least Squares Details 49:21 Variants of LSE Details 51:36 Least Square Estimation Details 51:32 Model Order Selection Residual Tests Details 0:53 Practical Issues in Identification Details 55:32 Estimation Problems in Instrumentation and Control Details 55:25 Conclusion Details 55:54

These video tutorials are delivered by IIT Kharagpur as part of NPTEL online courses program.

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