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Linear Stochastic Systems - A Geometric Approach to Modeling, Estimation and Identification (Hardcover, 2015 ed.)
Loot Price: R4,758
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Linear Stochastic Systems - A Geometric Approach to Modeling, Estimation and Identification (Hardcover, 2015 ed.)
Series: Series in Contemporary Mathematics, 1
Expected to ship within 12 - 17 working days
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This book presents a treatise on the theory and modeling of
second-order stationary processes, including an exposition on
selected application areas that are important in the engineering
and applied sciences. The foundational issues regarding stationary
processes dealt with in the beginning of the book have a long
history, starting in the 1940s with the work of Kolmogorov, Wiener,
Cramer and his students, in particular Wold, and have since been
refined and complemented by many others. Problems concerning the
filtering and modeling of stationary random signals and systems
have also been addressed and studied, fostered by the advent of
modern digital computers, since the fundamental work of R.E. Kalman
in the early 1960s. The book offers a unified and logically
consistent view of the subject based on simple ideas from Hilbert
space geometry and coordinate-free thinking. In this framework, the
concepts of stochastic state space and state space modeling, based
on the notion of the conditional independence of past and future
flows of the relevant signals, are revealed to be fundamentally
unifying ideas. The book, based on over 30 years of original
research, represents a valuable contribution that will inform the
fields of stochastic modeling, estimation, system identification,
and time series analysis for decades to come. It also provides the
mathematical tools needed to grasp and analyze the structures of
algorithms in stochastic systems theory.
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