Structure Selection of Stochastic Dynamic Systems / Edition 1

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Overview

This book gives a reliable review on structure selection of stochastic dynamic systems using information criteria AIC, BIC, o and stochastic complexity. After theoretical investigations many simulations are estimators, which illustrate both the effectiveness and the limitations of these methods. The reader can gain his or her own experience on the"working" of many methods (associated with different parameter estimators) using the demonstration disk which can be run on most IBM-compatible personal computers. The book will be helpful to anybody interested in applying automated methods of model-structure selection inn control engineering, in time series analysis or in signal processing.

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Editorial Reviews

Booknews
This monograph does not cover the whole topic of structure selection but instead discusses topics that receive less attention in comprehensive books on system identification and time series analysis. The fast development of intelligent control systems has spurred the development of computational methods to estimate the parameters of system models and to compute the necessary model structures efficiently. Some of the most important methods are summarized here, with theoretical background. Includes a PC disk with demonstration programs. Annotation c. Book News, Inc., Portland, OR (booknews.com)
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Product Details

  • ISBN-13: 9782881247156
  • Publisher: CRC Press
  • Publication date: 1/1/1991
  • Series: Stochastics Monographs , #4
  • Edition number: 1
  • Pages: 356

Table of Contents

Asymptotic Theory for Descrete-Time Models
Model Structure Validation
Simulational Comparison of Methods
Continuous Time Linear Models
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