Prerequisite: STAT 644 and 658 or equivalent.

Description:Advanced course in the analysis of discrete- and continuous-time signals using methods of stochastic differential equations and time series. Familiarity with the methods of harmonic analysis and times series modeling is presumed. Topics include state-space modeling and eigen-value processing, nonlinear modeling of signals, non-Gaussian stochastic process structure, detection and estimation of vector- valued signals, robust signal detection, array processing, and target tracking. Relevant computational architectures such as systolic arrays are also discussed.

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