Discrete-time Stochastic Systems: Estimation and Control

Discrete-time Shastic Systems gives a comprehensive introduction to the estimation and control of dynamic shastic systems and provides complete derivations of key results such as the basic relations for Wiener filtering. The book covers both state-space methods and those based on the polynomial approach. Similarities and differences between these approaches are highlighted. Some non-linear aspects of shastic systems (such as the bispectrum and extended Kalman filter) are also introduced and...