The Statistical Theory of Linear Systems (Wiley Series in Probability and Statistics) - Hardcover

Hannanm, E. J.; Deistler, M.

Hardcover

ISBN 10: 047180777X ISBN 13: 9780471807773

Publisher: Wiley, 1988

Synopsis

This work discusses closely the making of good models from observations, offering an interdisciplinary treatment of the subject. Focusing on linear dynamic systems evolving in discrete time, it examines their importance in the development of new applications in various fields, pointing out their interconnections and potential use for workers in several disciplines. Discussions cover the significant progress made in understanding the algebraic and topological structure of linear dynamic systems, work originating in the fields of systems and control engineering, the application of the scalar output case in modeling, statistically treating data arising in signal processing, the development of algorithms for on-line and real-time calculations, and recent work by statistical time-series analysts on theory and algorithms for off-line calculation. Also looks at the required asymtotic theory associated with estimation procedures.

About this title

Book Description

This classic text treats the identification of noisy linear systems. Provided in this new edition are an outline of developments since the book's original publication and an updated bibliography. The interweaving of structure theory and statistical analysis will be useful for anyone studying topics related to time series analysis.

About the Author

E. J. Hannan (1921-1994) was Professor of Statistics at the Australian National University in Canberra. He was a pioneer of modern time series analysis and winner of both the Pitman Medal and the Thomas Ranken Lyle Medal. The Australian Academy of Sciences commemorates his work by awarding the Hannan Medal every two years to recognize achievements of Australians in pure mathematics, applied and computational mathematics, and statistical science.

Manfred Deistler is Emeritus Professor at the Vienna University of Technology and a member of the visiting faculty of the Institute of Advanced Studies, Vienna. He is a Fellow of the Econometric Society, the IEEE, and the Journal of Econometrics.

Edition details

• Publisher: Wiley
• Publication date: 1988
• Language: English
• ISBN 10: 047180777X
• ISBN 13: 9780471807773
• Binding: Hardcover
• Edition number: 1
• Number of pages: 380