Time series and linear systems

zbMath0611.62107MaRDI QIDQ1087284

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Publication date: 1986

Published in: Lecture Notes in Control and Information Sciences (Search for Journal in Brave)

zbMATH Keywords

linear systemsestimationcausalityTime seriesstochastic modelsLinear systemsidentifiabilityorthogonal decompositiondynamic systemsstationary time seriesSchur decompositionsingular value decompositionsstochastic complexityLU decompositionARMAX modelshigher order momentsmultivariate time series analysisfinite parameter modelDeterministic and stochastic linear periodic systemsfactor analysis modelsGauss-Newton procedureLinear errors-in- variables systemsNumerical problemsobservationally equivalent characteristicsoptimal modelsPredictive and nonpredictive minimum description length principlesrational transfer function approximationtutorial papers

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Stochastic systems in control theory (general) (93E03) Conference proceedings and collections of articles (00Bxx)

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