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Linear Stochastic Systems

Name: Linear Stochastic Systems
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783662457498
Price: 592.6 PLN
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A Geometric Approach to Modeling, Estimation and Identification

Autor: Anders Lindquist, Giorgio Picci

Język:

Oprawa: Twarda

Wydawca: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Dostępność: Dostępna u dostawcy w małych ilościach

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This book presents a treatise on the theory and modeling of second-order stationary processes, inclu...

Informacje o książce

Autor

Anders Lindquist, Giorgio Picci

Język

Angielski

Oprawa

Książka - Twarda

Data wydania

2015

strony

781

EAN

9783662457498

ISBN

3662457490

Enbook ID

09090491

Wydawca

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Waga

1316

Wymiary

246 x 170 x 46

Pełny opis

This book presents a treatise on the theory and modeling of second-order stationary processes, including an exposition on selected application areas that are important in the engineering and applied sciences. The foundational issues regarding stationary processes dealt with in the beginning of the book have a long history, starting in the 1940s with the work of Kolmogorov, Wiener, Cramér and his students, in particular Wold, and have since been refined and complemented by many others. Problems concerning the filtering and modeling of stationary random signals and systems have also been addressed and studied, fostered by the advent of modern digital computers, since the fundamental work of R.E. Kalman in the early 1960s. The book offers a unified and logically consistent view of the subject based on simple ideas from Hilbert space geometry and coordinate-free thinking. In this framework, the concepts of stochastic state space and state space modeling, based on the notion of the conditional independence of past and future flows of the relevant signals, are revealed to be fundamentally unifying ideas. The book, based on over 30 years of original research, represents a valuable contribution that will inform the fields of stochastic modeling, estimation, system identification, and time series analysis for decades to come. It also provides the mathematical tools needed to grasp and analyze the structures of algorithms in stochastic systems theory.

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Linear Stochastic Systems

A Geometric Approach to Modeling, Estimation and Identification

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