System Identification
Course description
Course description
Book
Henrik Madsen, Time Series Analysis, Chapman & Hall, 2008.
Available from Fredrik Bajers Vej book store. It is an excellent book
not only for system identification but also for other subjects
e.g. stochastic processes, spectral analysis, multivariate time
series, stochastic state space models and Kalman filters.
Schedule - Tentative
The below might be changed
| Lecture | Subject | Section |
| 1 | ARMA definition, autocorrelation and
prediction | 5.5-5.7 |
| 2 | Identification and estimation of parameters |
6-6.4 |
| 3 | Model test and validation | 6.5-6.7 |
| 4 | Transfer function models with measurable
input | 8-8.7 |
| 5 | Adaptive and recursive estimation |
11-11.3 |
Course material
Lessons, reading instructions and
exercises.
Slides from the Lessons. Slides from the Lessons in article
style.
Solutions to exercises from the book home page.
Comments to the book. Notice that this
is very detailed comments mainly to my self. Students do not have to
read them.
Comments to the solutions to
exercises from the book home page.
Miscellaneous M-files for exercises etc.
Supplementary Danish material: On request I give a link to a old Danish lecture note. Notice: this
is of course not necessary to read. Also this material has a different
approach to the subject and also different contents and notation.
Evaluation
The course is evaluated by an individual oral exam. The students
should prepare 1 (one page) overhead for each lecture, stating the key
points related to the lecture. A starting point could be the lessons, reading instructions and
exercises. The student pick a random question/lecture number. The
exam will be based on a short 3 min presentation related to the
question number followed by questions from the examinators. The
student is expected to use hes/hers overhead on a overhead
projector. The overhead must be made by each individual student. No
other material is allowed.
Informations on the time schedule for the event will follow in due
time.
Student who uses this as a re-evaluation must let me know so I can
arrange for a censor.