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Amazon logo Brown, Robert Grover, and Patrick Y. C. Hwang. Introduction to Random Signals and Applied Kalman Filtering. New York: John Wiley & Sons, March 1992. ISBN: 0471525685.

LEC #TOPICSASSIGNMENTS
1Introduction

Random Signals

Intuitive Notion of Probability

Axiomatic Probability

Joint and Conditional Probability
Problems 1.1-1.4, 1.8
2Independence

Random Variables

Probability Distribution and Density Functions
Problems 1.9, 1.10, 1.12-1.14
3Expectation, Averages and Characteristic Function

Normal or Gaussian Random Variables

Impulsive Probability Density Functions

Multiple Random Variables
Problems 1.18-1.20, 1.30, 1.38
4Correlation, Covariance, and Orthogonality

Sum of Independent Random Variables and Tendency Toward Normal Distribution

Transformation of Random Variables
Problems 1.21-1.24, 1.26
5Some Common DistributionsProblems 1.15, 1.16, 1.27-1.29
6More Common Distributions

Multivariate Normal Density Function

Linear Transformation and General Properties of Normal Random Variables
Problems 1.33-1.37
7Linearized Error PropagationProblems A.1, A.6
8More Linearized Error PropagationProblems A.8, A.13
9Concept of a Random Process

Probabilistic Description of a Random Process

Gaussian Random Process

Stationarity, Ergodicity, and Classification of Processes
Problems 2.9-2.11, A.5
10Autocorrelation Function

Crosscorrelation Function
Problems 2.2, 2.12, 2.17, 2.19, 2.20
11Power Spectral Density Function

Cross Spectral Density Function

White Noise
Problems 2.1, 2.8, 2.14, 2.18, 2.22
Quiz 1 (Covers Sections 1-11)
12Gauss-Markov Process

Random Telegraph Wave

Wiener or Brownian-Motion Process
Problems 2.16, 2.21, 2.23-2.25
13Determination of Autocorrelation and Spectral Density Functions from Experimental DataProblem 2.27
14Introduction: The Analysis Problem

Stationary (Steady-State) Analysis

Integral Tables for Computing Mean-Square Value
Problems 3.4, 3.5, 3.7
15Pure White Noise and Bandlimited Systems

Noise Equivalent Bandwidth

Shaping Filter
Problems 3.8, 3.9, 3.17
16Nonstationary (Transient) Analysis - Initial Condition Response

Nonstationary (Transient) Analysis - Forced Response
Problems 3.18, 3.21, 3.24
17The Wiener Filter Problem

Optimization with Respect to a Parameter
Problems 4.4, 4.5
18The Stationary Optimization Problem - Weighting Function Approach

Orthogonality
Problems 4.7, 4.8
19Complementary Filter

Perspective
Problems 4.13, 4.14
20Estimation

A Simple Recursive Example
Problems A.7, A.9
Quiz 2 (Covers Sections 12-20)
21Markov ProcessesProblems A.14, A.15
22State Space Description

Vector Description of a Continuous-Time Random Process

Discrete-Time Model 
Problems A.10, A.11, A.16
23Monte Carlo Simulation of Discrete-Time Systems

The Discrete Kalman Filter

Scalar Kalman Filter Examples
Problems 5.1, 5.2
24Transition from the Discrete to Continuous Filter Equations

Solution of the Matrix Riccati Equation
Problems 7.1, 7.2
25Divergence ProblemsProblems 6.8, 6.9
26Complementary Filter Methodology

INS Error Models

Damping the Schuler Oscillation with External Velocity Reference Information
Problem 10.3
Final Exam

 








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