Modelling and Application of Stochastic Processes

Language: English

Published by Springer, Springer US, 2011

1461294002 / 9781461294009

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Druck auf Anfrage Neuware - Printed after ordering - The subject of modelling and application of stochastic processes is too vast to be exhausted in a single volume. In this book, attention is focused on a small subset of this vast subject. The primary emphasis is on realization and approximation of stochastic systems. Recently there has been considerable interest in the stochastic realization problem, and hence, an attempt has been made here to collect in one place some of the more recent approaches and algorithms for solving the stochastic realiza tion problem. Various different approaches for realizing linear minimum-phase systems, linear nonminimum-phase systems, and bilinear systems are presented. These approaches range from time-domain methods to spectral-domain methods. An overview of the chapter contents briefly describes these approaches. Also, in most of these chapters special attention is given to the problem of developing numerically ef ficient algorithms for obtaining reduced-order (approximate) stochastic realizations. On the application side, chapters on use of Markov random fields for modelling and analyzing image signals, use of complementary models for the smoothing problem with missing data, and nonlinear estimation are included. Chapter 1 by Klein and Dickinson develops the nested orthogonal state space realization for ARMA processes. As suggested by the name, nested orthogonal realizations possess two key properties; (i) the state variables are orthogonal, and (ii) the system matrices for the (n + l)st order realization contain as their 'upper' n-th order blocks the system matrices from the n-th order realization (nesting property).

Seller Inventory # 9781461294009

Title
Modelling and Application of Stochastic Processes
Author
Uday B. Desai
Publisher
Springer, Springer US
Publication year
2011
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
1461294002
ISBN 13
9781461294009
Item weight
470 grams
Dimensions
235x155x17 mm

AHA-BUCH GmbH

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