Publisher's Synopsis
Originally published in 1988, The Statistical Theory of Linear Systems deals with identification (in the sense of obtaining a model from data) of multi-input and multi-output linear systems, in particular systems in ARMAX and state space form.
The book emphasizes the underlying theory. It covers:
- Structure theory, in particular realization and parameterization of linear systems, with special emphasis on the analysis of properties of parameter spaces and parameterizations relevant for estimation and model selection.
- Gaussian maximum likelihood estimation of the real-valued parameters of linear systems, with an emphasis on asymptotic theory
- Model selection, in particular order estimation, by information criteria such as AIC or BIC, with an emphasis on asymptotic theory.
- Procedures for calculation of estimates.
- Approximation by rational functions.
