Lecture 10. Identification of Linear Dynamical Systems - part 2

Learning Goals: You should be able to model random disturbances and estimate models from data. You should understand the definition of covariance function $LaTeX: R_w(\tau)$ $R_w(\tau)$ and spectral density $LaTeX: \Phi_w(\omega)$ $\Phi_w(\omega)$ of a discrete random time sequence LaTeX: w(t) $w(t)$ and how these functions influence the typical behavior or the signals. You should be able to estimate the spectrum of signals using Periodograms, Welch's method and BlackmanTukey method. You should be able to estimate transfer functions using spectral analysis.