The course is based on lecture notes that will continuously posted here:
The lecture notes are based on
- Lennart Ljung, System identification: Theory for the user, 2nd ed. Prentice-Hall 1999.
- Chapters 1-4 of E. L. Lehmann and G. Casella: Theory of Point Estimation, Wiley & sons, 1998.
- Parts of K.L. Chung, A Course in Probability Theory, Academic Press, 1974
- Torsten Söderström and Petre Stoica: System Identification, 1989
as well as references provided in the lecture notes.