MATH 5654: Prediction and Filtering

4 Credits

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

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A- Average (3.741)Most Common: A (80%)

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10 students
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