Lecture notes on Estimation Theory

The last two academic years I have been teaching a course on Estimation Theory which largely revolves around the Kalman filter and related estimation methods.

  1. Introduction to probability
  2. Introduction to estimation theory
  3. Bayesian estimation
  4. The Kalman Filter
  5. Beyond the Kalman Filter
  6. Good and better estimators

These lecture notes are accompanied by a series of thirteen video lectures.