Technische Universiteit Delft, the Netherlands

Technische Universiteit Delft, the Netherlands

Cambridge, New York, Melbourne, Madrid, Cape Town, Singapore, S o Paulo

Cambridge University Press
The Edinburgh Building, Cambridge CB2 8RU, UK

Published in the United States of America by Cambridge University Press, New York

www.cambridge.org
Information on this title: www.cambridge.org/9780521875127

This publication is in copyright. Subject to statutory exception and to the provisions of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University Press.

First published 2007

A catalogue record for this publication is available from the British Library

Cambridge University Press has no responsibility for the persistence or accuracy of URLs for external or third-party internet websites referred to in this publication, and does not guarantee that any content on such websites is, or will remain, accurate or appropriate.

Filtering and system identification are powerful techniques for building models of complex systems in communications, signal processing, control, and other engineering disciplines. This book discusses the design of reliable numerical methods to retrieve missing information in models derived using these techniques. Particular focus is placed on the least squares approach as applied to estimation problems of increasing complexity to retrieve missing information about a linear state-space model.

The authors start with key background topics including linear matrix algebra, signal transforms, linear system theory, and random variables. They then cover various estimation and identification methods in the...