
From Data to Model
Jan C. Willems(Editor)
Springer (Publisher)
1st Edition
Published on 17. October 1989
Book
Hardback
VII, 246 pages
978-3-540-51571-5 (ISBN)
Description
The problem of obtaining dynamical models directly from an observed time-series occurs in many fields of application. There are a number of possible approaches to this problem. In this volume a number of such points of view are exposed: the statistical time series approach, a theory of guaranted performance, and finally a deterministic approximation approach. This volume is an out-growth of a number of get-togethers sponsered by the Systems and Decision Sciences group of the International Institute of Applied Systems Analysis (IIASA) in Laxenburg, Austria. The hospitality and support of this organization is gratefully acknowledged. Jan Willems Groningen, the Netherlands May 1989 TABLE OF CONTENTS Linear System Identification- A Survey page 1 M. Deistler A Tutorial on Hankel-Norm Approximation 26 K. Glover A Deterministic Approach to Approximate Modelling 49 C. Heij and J. C. Willems Identification - a Theory of Guaranteed Estimates 135 A. B. Kurzhanski Statistical Aspects of Model Selection 215 R. Shibata Index 241 Addresses of Authors 246 LINEAR SYSTEM IDENTIFICATION· A SURVEY M. DEISTLER Abstract In this paper we give an introductory survey on the theory of identification of (in general MIMO) linear systems from (discrete) time series data. The main parts are: Structure theory for linear systems, asymptotic properties of maximum likelihood type estimators, estimation of the dynamic specification by methods based on information criteria and finally, extensions and alternative approaches such as identification of unstable systems and errors-in-variables. Keywords Linear systems, parametrization, maximum likelihood estimation, information criteria, errors-in-variables.
More details
Language
English
Place of publication
Heidelberg
Germany
Publishing group
Springer Berlin
Target group
Research
Product notice
sewn/stitched
Cloth over boards
Illustrations
10 s/w Tabellen
Bibliography; 10 Tables, black and white
Dimensions
Height: 24.2 cm
Width: 17 cm
Weight
525 gr
ISBN-13
978-3-540-51571-5 (9783540515715)
DOI
10.1007/978-3-642-75007-6
Schweitzer Classification
Other editions
Additional editions

Content
Linear System Identification- A Survey.- A Tutorial on Hankel-Norm Approximation.- A Deterministic Approach to Approximate Modelling.- Identification - a Theory of Guaranteed Estimates.- Statistical Aspects of Model Selection.- Addresses of Authors.