System Identification – Siena

Argomenti del programma: Recall on random variables: CDF/PDF, multivariate distributions, mean/variance, confidence intervals, covariance and correlation, Gaussian variables, functions of random variables, conditional distributions. Estimation Theory: parametric estimation, estimator properties, performance criteria, Minimum Variance Unbiased Estimator, Cramér–Rao bound, Maximum Likelihood Estimation, nonlinear/linear estimation problems.