MATH5654
MATH 5654 - Prediction and Filtering (4 Cr.)
School of Mathematics (11133)
TIOT - College of Science and Engineering
MATH 5654 - Prediction and Filtering (4 Cr.)
Course description
Markov chains, Wiener process, stationary sequences, Ornstein-Uhlenbeck process. Partially observable Markov processes (hidden Markov models), stationary processes. Equations for general filters, Kalman filter. Prediction of future values of partially observable processes.prereq: 5651 or Stat 5101
Minimum credits
4
Maximum credits
4
Is this course repeatable?
No
Grading basis
OPT - Student Option
Lecture
Requirements
001186
Typically offered term(s)
Every Spring