Synopsis
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.
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About the Author
Sándor M. Veres University of Birmingham, UK
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Structure Selection of Stochastic Dynamic Systems: The Information Criterion Approach. Stochastics Monographs. Volume 4.
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Gordon & Breach Science Publishers SA, 1990
ISBN 10: 2881247156
ISBN 13: 9782881247156
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