1st Edition

Structure Selection of Stochastic Dynamic Systems

By Sandor M. Veres Copyright 1991
    356 Pages
    by CRC Press

    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.

    Preface 1. Introduction 3. Asymptotic Theory for Discrete-Time Models 4. Model Structure Validation 5. Simulational Comparison of Methods 6. Continuous Time Linear Models

    Biography

    Sandor M. Veres University of Birmingham, UK