Structure Selection of Stochastic Dynamic Systems / Edition 1

Structure Selection of Stochastic Dynamic Systems / Edition 1

by Sandor M. Veres
     
 

ISBN-10: 2881247156

ISBN-13: 9782881247156

Pub. Date: 01/01/1991

Publisher: Taylor & Francis

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

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.

Product Details

ISBN-13:
9782881247156
Publisher:
Taylor & Francis
Publication date:
01/01/1991
Series:
Stochastics Monographs, #4
Pages:
356
Product dimensions:
6.30(w) x 9.06(h) x (d)

Table of Contents

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

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