Structure Selection of Stochastic Dynamic Systems

Pirmais vāks
CRC Press, 1991. gada 1. janv. - 356 lappuses

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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Saturs

Introduction
1
Preliminaries
9
Asymptotic Theory for DiscreteTime Models
65
ARMA Processes
108
Model Structure Validation
145
Simulational Comparison of Methods
173
Continuous Time Linear Models
263
Appendix A Some Results on Martingale Convergence
281
Appendix B Some Simple Pascal Routines
295
Demonstration Programs
309
Subject Index
335
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