Structure Selection of Stochastic Dynamic Systems

ISBN-13: 9782881247156 / Angielski / Twarda / 1991 / 356 str.

Opis

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.

Spis treści

Preface 1. Introduction 3. Asymptotic Theory for Discrete-Time Models 4. Model Structure Validation 5. Simulational Comparison of Methods 6. Continuous Time Linear Models

O autorze

Sandor M. Veres University of Birmingham, UK