Decision theory: Binary hypothesis testing, M-ary testing, Bayes, Neyman-Pearson, Min-Max. Performance. Probability of error, ROC. Estimation theory: linear and nonlinear estimation, parameter estimation. Bayes, MAP, maximum likelihood, Cramér-Rao bounds. Bias, efficiency, consistency. Asymptotic properties of estimators. Orthogonal decomposition of random processes and harmonic representation. Waveform detection and estimation. Wiener filtering and Kalman-Bucy filtering. Elements of identification. Recursive algorithms. Spectral estimation. Topics may vary.
4 hrs. lec.
Prerequisites: 18-751 and senior or graduate standing.