The Resource The statistical theory of linear systems, E.J. Hannan, Manfred Deistler, (electronic resource)

The statistical theory of linear systems, E.J. Hannan, Manfred Deistler, (electronic resource)

Label
The statistical theory of linear systems
Title
The statistical theory of linear systems
Statement of responsibility
E.J. Hannan, Manfred Deistler
Creator
Contributor
Publisher
Subject
Language
eng
Summary
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; and approximation by rational functions. This edition includes an extensive new introduction that outlines central ideas and features of the subject matter, as well as developments since the book's original publication, such as subspace identification, data-driven local coordinates, and the results on post-model-selection estimators. It also provides a section of errata and an updated bibliography
Member of
Cataloging source
CaBNVSL
http://library.link/vocab/creatorDate
1921-
http://library.link/vocab/creatorName
Hannan, E. J.
Index
index present
LC call number
QA402
LC item number
.H333 2012eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Deistler, M.
  • Society for Industrial and Applied Mathematics
Series statement
Classics in applied mathematics
Series volume
70
http://library.link/vocab/subjectName
  • System identification
  • Linear systems
  • Discrete-time systems
Target audience
adult
Label
The statistical theory of linear systems, E.J. Hannan, Manfred Deistler, (electronic resource)
Instantiates
Publication
Note
Originally published: New York : Wiley, c1988
Bibliography note
Includes bibliographical references and indexes
Color
black and white
Contents
Preface to the Classics edition -- Introduction to the Classics edition -- Preface -- Index of notations -- ch. 1. Linear systems and stationary processes -- ch. 2. Realization and parameterization of linear dynamic systems -- ch. 3. The Kalman filter -- ch. 4. Maximum likelihood estimation of Armax systems -- ch. 5. Estimating the order of a linear system -- ch. 6. Calculation of the estimates -- ch. 7. Approximation by rational transfer functions -- References -- Author index -- Subject index
Dimensions
unknown
Edition
SIAM ed.
Extent
1 online resource (xvi, 380 p.)
File format
multiple file formats
Form of item
online
Isbn
9781611972191
Publisher number
CL70
Reformatting quality
access
Specific material designation
remote
System control number
  • (CaBNVSL)thg00902350
  • (SIAM)9781611972191
Label
The statistical theory of linear systems, E.J. Hannan, Manfred Deistler, (electronic resource)
Publication
Note
Originally published: New York : Wiley, c1988
Bibliography note
Includes bibliographical references and indexes
Color
black and white
Contents
Preface to the Classics edition -- Introduction to the Classics edition -- Preface -- Index of notations -- ch. 1. Linear systems and stationary processes -- ch. 2. Realization and parameterization of linear dynamic systems -- ch. 3. The Kalman filter -- ch. 4. Maximum likelihood estimation of Armax systems -- ch. 5. Estimating the order of a linear system -- ch. 6. Calculation of the estimates -- ch. 7. Approximation by rational transfer functions -- References -- Author index -- Subject index
Dimensions
unknown
Edition
SIAM ed.
Extent
1 online resource (xvi, 380 p.)
File format
multiple file formats
Form of item
online
Isbn
9781611972191
Publisher number
CL70
Reformatting quality
access
Specific material designation
remote
System control number
  • (CaBNVSL)thg00902350
  • (SIAM)9781611972191

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