modeling, estimation and optimal filtering in signal processing
Résumé
This title introduces discrete-time linear models such as AR, MA and ARMA models, their properties and their limitations. In addition, sinusoidal models are addressed. Then, estimation approaches based on least squares methods and instrumental variable techniques are presented. Finally, the book deals with optimal filters, i.e. Wiener and Kalman filtering, and adaptive filters such as the RLS, the LMS and their variants.