Del i serien Classics in Applied Mathematics

Statistical Theory of Linear Systems

Häftad, Engelska, 2012

1 709 kr

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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 theoryModel 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.

Produktinformation

Utgivningsdatum2012-04-30
Mått152 x 229 x undefined mm
Vikt590 g
FormatHäftad
SpråkEngelska
SerieClassics in Applied Mathematics
Antal sidor425
FörlagSociety for Industrial & Applied Mathematics,U.S.
ISBN9781611972184

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E. J. Hannan (1921-1994) was Professor of Statistics at the Australian National University in Canberra. He was a pioneer of modern time series analysis and winner of both the Pitman Medal and the Thomas Ranken Lyle Medal. The Australian Academy of Sciences commemorates his work by awarding the Hannan Medal every two years to recognise achievements of Australians in pure mathematics, applied and computational mathematics and statistical science. Manfred Deistler is Emeritus Professor at the Vienna University of Technology. He is a Fellow of the Econometric Society, the IEEE and the Journal of Econometrics. He is also a member of the Austrian Academy of Sciences.

Preface to the Classics EditionIntroduction to the Classics EditionPrefaceIndex of Notations;Chapter 1: Linear Systems and Stationary ProcessesChapter 2: Realization and Parameterization of Linear Dynamic SystemsChapter 3: The Kalman FilterChapter 4: Maximum Likelihood Estimation of Armax SystemsChapter 5: Estimating the Order of a Linear SystemChapter 6: Calculation of the EstimatesChapter 7: Approximation by Rational Transfer FunctionsReferencesAuthor IndexSubject Index