This lecture course was given at the Institute of Neurology, University College London in the 1999/2000 academic year. Here's a PDF version of the lecture notes PDF. Alternatively, you can download a lecture at a time. You may wish to refer to the table of contents PDF .

Part I: Fundamentals

1. Statistics PDF

2. Linear Algebra PDF

3. Multivariate Analysis PDF

4. Information Theory PDF

Part II: Stationary Models

5. Fourier Methods PDF

6. Stochastic Processes PDF

7. Multiple Time Series PDF

8. Subspace Methods PDF

9. Nonlinear Methods PDF

Part III: Nonstationary Models

10. Bayesian Methods PDF

11. Kalman Filters PDF

12. Expectation-Maximisation (EM) algorithms PDF

Appendices

Appendices A, B and C: Series and Complex Numbers PDF

Appendices D and E: Probability Distributions PDF

References PDF