Format:
1 Online-Ressource (xvi, 380 Seiten)
Edition:
SIAM ed
ISBN:
9781611972191
Series Statement:
Classics in applied mathematics 70
Content:
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
Language:
English
Keywords:
Lineares System
;
Systemidentifikation
;
Lineares dynamisches System
;
Systemidentifikation
;
Mathematische Methode
;
Zeitdiskretes Regelungssystem
DOI:
10.1137/1.9781611972191
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