Filtering and System Identification: A Least Squares Approach

| | the set of integers |
| | the set of positive integers |
| | the set of complex numbers |
| | the set of real numbers |
| | the set of real-valued n-dimensional vectors |
| | the set of real-valued m by n matrices |
| ? | infinity |
| Re | real part |
| Im | imaginary part |
| ? | belongs to |
| = | equal |
| ? | approximately equal |
| ? | end of proof |
| ? | Kronecker product |
| I n | the n n identity matrix |
| [A] i,j | the (i, j)th entry of the matrix A |
| A(i, :) | the ith row of the matrix A |
| A(: , i) | the ith column of the matrix A |
| A T | the transpose of the matrix A |
| A ?1 | the inverse of the matrix A |
| A 1/2 | the symmetric positive-definite square root of the matrix A |
| diag( a 1, a 2, , a n) | an n n diagonal matrix whose (i, i)th entry is a i |
| det (A) | the determinant of the matrix A |
| range (A) | the column space of the matrix A |
| rank (A) | the rank of the matrix A |
| trace (A) | the trace of the matrix A |
| vec (A) | a vector constructed by stacking the columns of the matrix A on top of each other |
| A 2 | the 2-norm of the matrix A |
| A F | the Frobenius norm of the matrix A |
| [x] i | the ith entry of the vector x |
| x 2 | the 2-norm of the... |