The statistical theory of linear systems
E. J. Hannan, Manfred Deistler.
New York : Wiley, ©1988.
xiii, 380 págs. ; 24 cm.
Serie: Wiley series in probability and mathematical statistics. Probability and mathematical statistics, ISSN 0271-6232
ISBN: 047180777X
Incluye referencias bibliográficas (p. 361-370) e índices.
Reseña: MathSciNet, 89m:60085
Contenido
- 1. Linear systems and stationary processes
- 2. Realization and parameterization of linear dynamic systems
- 3. The Kalman filter
- 4. Maximum likelihood estimation of ARMAX systems
- 5. Estimating the order of a linear system
- 6. Calculation of the estimates
- 7. Approximation by rational transfer functions.