This is an introductory course to statistical estimation theory given from a signal processing perspective. The course covers fundamental concepts such as sufficient statistics, the Rao-Blackwell theorem and the Cramer-Rao lower bound on estimation accuracy. Furthermore, the most common estimation methods are treated, including maximum likelihood, least-squares, minimum variance and Bayesian estimation.
This is a graduate level course that can be taken by undergraduate students who are admitted. There are two versions of the course, 6 and 12 ECTS.
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Content and learning outcomes
Introduction, minimum variance estimation, Cramer-Rao bound. General minimum variance and best linear unbiased estimation. Maximum likelihood estimation, least squares, method of moments, Bayesian estimation. Extensions for complex data and parameters.
Intended learning outcomes
This is an introductory course to statistical estimation theory given from a signal processing perspective. The aim is to provide the basic principles and tools which are useful to solve many estimation problems in signal processing and communications. It will also serve as the necessary prerequisite for more advanced texts and research papers in the area. The course will cover fundamental concepts such as sufficient statistics, the Rao-Blackwell theorem and the Cramer-Rao lower bound on estimation accuracy. Furthermore, the most common estimation methods are treated, including maximum likelihood, least-squares, minimum variance, method of moments and Bayesian estimation. The course assumes some familiarity with basic matrix theory and statistics.
Literature and preparations
For single course students: 180 credits and documented proficiency in English B or equivalent
EQ2300 Digital Signal Processing grade 4 or 5 and the permission of the examiner.
EQ2820 Matrix Algebra, accelerated program is recommended but not required.
"Fundamentals of Statistical Signal Processing: Estimation Theory," Kay, Steven M. ISBN 0133457117.
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
- LAB1 - Laboratory Work, 1.5 credits, grading scale: P, F
- TEN1 - Examination, 4.5 credits, grading scale: A, B, C, D, E, FX, F
Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Other requirements for final grade
Attending the lectures is mandatory
Homework assignments oral examination (not required if the homeworks are correct) project assignment.
Opportunity to complete the requirements via supplementary examination
Opportunity to raise an approved grade via renewed examination
- All members of a group are responsible for the group's work.
- In any assessment, every student shall honestly disclose any help received and sources used.
- In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.
Further information about the course can be found on the Course web at the link below. Information on the Course web will later be moved to this site.Course web EQ2810
Main field of study
Given in P1 every odd year.
In this course, the EECS code of honor applies, see: