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000726785 019__ $$a914434680
000726785 020__ $$a9783662457504$$qelectronic book
000726785 020__ $$a3662457504$$qelectronic book
000726785 020__ $$z9783662457498
000726785 0247_ $$a10.1007/978-3-662-45750-4$$2doi
000726785 035__ $$aSP(OCoLC)ocn908103318
000726785 035__ $$aSP(OCoLC)908103318$$z(OCoLC)914434680
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000726785 049__ $$aISEA
000726785 050_4 $$aQA402
000726785 08204 $$a519.2
000726785 1001_ $$aLindquist, Anders,$$eauthor.
000726785 24510 $$aLinear stochastic systems$$h[electronic resource] :$$ba geometric approach to modeling, estimation and identification /$$cAnders Lindquist, Giorgio Picci.
000726785 264_1 $$aHeidelberg :$$bSpringer,$$c2015.
000726785 300__ $$a1 online resource :$$billustrations.
000726785 336__ $$atext$$btxt$$2rdacontent
000726785 337__ $$acomputer$$bc$$2rdamedia
000726785 338__ $$aonline resource$$bcr$$2rdacarrier
000726785 4901_ $$aSeries in contemporary mathematics,$$x2364-0103 ;$$vv. 1
000726785 504__ $$aIncludes bibliographical references and index.
000726785 5050_ $$aIntroduction -- Geometry of Second-Order Random Processes -- Spectral Representation of Stationary Processes -- Innovations, Wold Decomposition, and Spectral Factorization -- Wold Decomposition and Spectral Factorization in Continuous Time -- Linear Finite-Dimensional Stochastic Systems -- The Geometry of Splitting Subspaces -- Markovian Representations -- Proper Markovian Representations in Hardy Space -- Stochastic Realization Theory in Continuous Time -- Stochastic Balancing and Model Reduction -- Finite-Interval Stochastic Realization and Partial Realization Theory -- Subspace Identification for Time Series -- Zero Dynamics and the Geometry of the Riccati Inequality -- Smoothing and Interpolation -- Acausal Linear Stochastic Models and Spectral Factorization -- Stochastic Systems with Inputs -- Appendix A. Basic Principles of Deterministic Realization Theory -- Appendix B. Some Topics in Linear Algebra and Hilbert Space Theory.
000726785 506__ $$aAccess limited to authorized users.
000726785 520__ $$aThis book presents a treatise on the theory and modeling of second-order stationary processes, including an exposition on selected application areas that are important in the engineering and applied sciences. The foundational issues regarding stationary processes dealt with in the beginning of the book have a long history, starting in the 1940s with the work of Kolmogorov, Wiener, Cramér and his students, in particular Wold, and have since been refined and complemented by many others. Problems concerning the filtering and modeling of stationary random signals and systems have also been addressed and studied, fostered by the advent of modern digital computers, since the fundamental work of R.E. Kalman in the early 1960s. The book offers a unified and logically consistent view of the subject based on simple ideas from Hilbert space geometry and coordinate-free thinking. In this framework, the concepts of stochastic state space and state space modeling, based on the notion of the conditional independence of past and future flows of the relevant signals, are revealed to be fundamentally unifying ideas. The book, based on over 30 years of original research, represents a valuable contribution that will inform the fields of stochastic modeling, estimation, system identification, and time series analysis for decades to come. It also provides the mathematical tools needed to grasp and analyze the structures of algorithms in stochastic systems theory.
000726785 588__ $$aOnline resource; title from PDF title page (viewed April 30, 2015).
000726785 650_0 $$aStochastic systems.
000726785 650_0 $$aDiscrete-time systems.
000726785 650_0 $$aLinear systems.
000726785 7001_ $$aPicci, Giorgio,$$d1942-$$eauthor.
000726785 77608 $$iPrint version:$$z9783662457498
000726785 830_0 $$aSeries in contemporary mathematics (Springer (Firm)) ;$$vv. 1.
000726785 852__ $$bebk
000726785 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-662-45750-4$$zOnline Access$$91397441.1
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