Linear Stochastic Systems

DOI10.1007/978-3-662-45750-4zbMath1319.93001OpenAlexW2495836911MaRDI QIDQ5498997

Giorgio Picci, Anders Lindquist

Publication date: 11 February 2015

Published in: Series in Contemporary Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-662-45750-4

zbMATH Keywords

system identificationestimationstate space modelingstationary stochastic processestime series analysisHilbert space geometryinfinite-dimensional state spacesa geometric theory for stochastic systems with inputs

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05) Discrete-time Markov processes on general state spaces (60J05) Geometric methods (93B27) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Identification in stochastic control theory (93E12) System structure simplification (93B11) Stochastic systems in control theory (general) (93E03)

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