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The Statistical Theory of Linear Systems

TaschenbuchKartoniert, Paperback
400 Seiten
Englisch
Cambridge University Presserschienen am26.04.2012Siam edition
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.mehr

Produkt

KlappentextOriginally 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.
Details
ISBN/GTIN978-1-61197-218-4
ProduktartTaschenbuch
EinbandartKartoniert, Paperback
FormatTrade Paperback (USA)
Erscheinungsjahr2012
Erscheinungsdatum26.04.2012
AuflageSiam edition
Seiten400 Seiten
SpracheEnglisch
MasseBreite 156 mm, Höhe 239 mm, Dicke 23 mm
Gewicht584 g
Artikel-Nr.60024347
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
* 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 Indexmehr

Autor

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.
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Hannan, E J