Estimation theory is widely used in many branches of science and engineering. Written in a "lesson" format that is especially convenient for self-study, this book describes many of the important estimation methods and shows how they are interrelated.Covers key topics in parameter estimation and state estimation, with supplemental lessons on sufficient statistics and statistical estimation of parameters, higher-order statistics, and a review of state variable models. Links computations into MATLAB and its associated toolboxes. A small number of important estimation M-files, which do not presently appear in any MathWork's toolbox, are included in an appendix.For engineers and scientists interested in digital estimation theory.