[Zurück]

E.J. Hannan, M. Deistler:
"The Statistical Theory of Linear Systems";
SIAM (Society for Industrial and Applied Mathematics, Philadelphia, 2012, ISBN: 978-1-611972-18-4; 375 S.

Counter This work discusses closely the making of good models from observations, offering an interdisciplinary treatment of the subject. Focusing on linear dynamic systems evolving in discrete time, it examines their importance in the development of new applications in various fields, pointing out their interconnections and potential use for workers in several disciplines. Discussions cover the significant progress made in understanding the algebraic and topological structure of linear dynamic systems, work originating in the fields of systems and control engineering, the application of the scalar output case in modeling, statistically treating data arising in signal processing, the development of algorithms for on-line and

ARMA(X) and state-space systems, time series analysis, system identification, parameterization of linear systems, maximum likelihood estimation

http://dx.doi.org/10.1137/1.9781611972191