Recursive Estimation and Time-Series Analysis An Introduction for th
This is a revised version of the 1984 book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter century. Also over this time
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Peter C. Young
Recursive Estimation and Time-Series Analysis An Introduction for the Student and Practitioner Second edition
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Prof. Peter C. Young Green Meadows, Stanmore Drive LA1 5BL Haverbreaks, Lancaster United Kingdom [email protected]
ISBN 978-3-642-21980-1 e-ISBN 978-3-642-21981-8 DOI 10.1007/978-3-642-21981-8 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2011935045 c Springer-Verlag Berlin Heidelberg 2011 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: SPi Publisher Services Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To Wendy
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Preface
This is a revised version of my 1984 book of the same name but, because so much time has elapsed since the publication of the first version, it has been considerably modified and enlarged to accommodate all the developments in recursive estimation and time series analysis that have occurred over the last quarter century. Also over this time, the CAPTAIN Toolbox for recursive estimation and time series analysis has been developed by my colleagues and I at Lancaster, for use in the MatlabTM software environment (see Appendix G). Consequently, the present version of the book is able to exploit the many computational routines that are contained in this widely available Toolbox, as well as some of the other routines in Matlab and its other toolboxes. The book is an introductory one on the topic of recursive estimation and it demonstrates how this approach to estimation, in its various forms, can be an impressive aid to the modelling of stochastic, dynamic systems. It is intended for undergraduate or Masters students who wish to obtain a grounding in this subject; or for practitioners in industry who may have heard of topics dealt with in this book and, while they want to know more about them, may have been deterred by the rather esoteric nature of some books in this challenging area of study. As such, it can also be considered as a primer for the eventual reading of these more advanced theoretical texts on the subject. However it should be emphasized that the book also contains a considerable amount of novel material which does not appear in any other texts on t
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