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.
KTH Campus
Autumn 2025: P1 (6 hp)
50%
51473
Normal Daytime
English
Places are not limited
Please note: all information from the Course syllabus is available on this page in an accessible format.
Course syllabus EQ2810 (Autumn 2025–)The course covers the following fields:
− minimum variance estimation
− Cramér-Rao bound
− best linear unbiased estimation
− maximum likelihood estimation
− least squares method
− the method of moments
− Bayesian estimation
− extensions for complex data and parameters.
After passing the course, the student should be able to:
− explain the difference between classical and Bayesian estimation
− describe concepts such as unbiased estimator, estimator variance and efficiency
− explain the concept of sufficient statistics and its importance for minimum variance estimation
− formulate system models and parameter estimation problems and derive corresponding Cramér-Rao bounds and sufficient statistics
− apply appropriate estimators (including linear, least-squares, maximum likelihood, method of moments, and maximum a posteriori) after taking into account estimation accuracy and complexity
− work with both real and complex valued data
− reflect on sustainability, equity and ethical issues related to the course content and its use.
Knowledge in linear algebra, 7.5 higher education credits, equivalent to completed course SF1624/SF1672/SF1684.
Knowledge in probability theory and statistics, 6 credits, equivalent to completed course SF1910/SF1924/SF1935.
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.
If the course is discontinued, students may request to be examined during the following two academic years.
Given in P1 every odd year.
In this course, the EECS code of honor applies, see:
http://www.kth.se/en/eecs/utbildning/hederskodex.
