|
Šifra:
|
11533
|
|
ECTS:
|
6
|
|
Lecturers in charge:
|
Prof. dr. sc.
Neven Elezović
Doc. dr. sc.
Igor Velčić
|
|
English level:
1,1,1
|
All teaching activities in the course will be held on English. This level includes courses with multiple groups (i.e., all teaching will be held strictly in Croatian for Croatian groups, and strictly in English for English groups).
|
|
Description:
|
Stationary processes. Stochastic integral. Ergodic theorems. Brownian motion. White noise. Martingals. Stopping times. Stochastic diffusion. Stochastic calculus. Ito's integral. Deterministic and stochastic dynamic systems. Prediction and filtering. Wiener filter. Kalman filter. Optimal smoothers. Nonlinear filtering.
|
|
Literature:
|
- Moohinder S. Grewal., Angus P. Andrews: Kalman filtering (theory and practice using MATLAB)
- A. Papoulis: Probability, random variables and stochastic processes, McGraw-Hill, Third Edition
- F. Beichelt: Stochastic Processes in Science, Engineering and Finance, Chapman & Hall, 2006.
|
|
This web site uses cookies to deliver its users personalized dynamic content. You are hereby informed that cookies are necessary for the web site's functioning and that by continuing to use this web sites, cookies will be used in cooperation with your Web browser. You can learn more about cookies here.
