The Stastical Theory of Linear Systems (Classics in Applied Mathematics)

Hannan, E. J./ Deistler, Manfred

Society for Industrial & Applied（2012/04発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 380 p.
• 言語 ENG
• 商品コード 9781611972184
• DDC分類 003.74

Full Description

Originally published in 1988, The Statistical Theory of Linear Systems deals with identification (in the sense of obtaining a model from data) of multi-input and multi-output linear systems, in particular systems in ARMAX and state space form. The book emphasizes the underlying theory. It covers:* Structure theory, in particular realization and parameterization of linear systems, with special emphasis on the analysis of properties of parameter spaces and parameterizations relevant for estimation and model selection.* Gaussian maximum likelihood estimation of the real-valued parameters of linear systems, with an emphasis on asymptotic theory* Model selection, in particular order estimation, by information criteria such as AIC or BIC, with an emphasis on asymptotic theory.* Procedures for calculation of estimates.* Approximation by rational functions.

Contents

* Preface to the Classics Edition* Introduction to the Classics Edition* Preface* Index of Notations;Chapter 1: Linear Systems and Stationary Processes* Chapter 2: Realization and Parameterization of Linear Dynamic Systems* Chapter 3: The Kalman Filter* Chapter 4: Maximum Likelihood Estimation of Armax Systems* Chapter 5: Estimating the Order of a Linear System* Chapter 6: Calculation of the Estimates* Chapter 7: Approximation by Rational Transfer Functions* References* Author Index* Subject Index