MATH5654

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MATH 5654 - Prediction and Filtering (4 Cr.)

School of Mathematics (11133) TIOT - College of Science and Engineering

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

Fulfills the writing intensive requirement?

No

Typically offered term(s)

Every Spring