Fundamentals of Stochastic Signals, Systems and Estimation Theory

Fundamentals of Stochastic Signals, Systems and Estimation Theory

With Worked Examples

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Fundamentals of Stochastic Signals, Systems and Estimation Theory (third edition) explains the concepts underlying modeling and analysis of stochastic signals and linear stochastic systems. Two popular stochastic models: the polynomial (or transfer-function) model and the state-space model, are employed in schemes that lead to the successful estimation of unknown signal-/system-model parameters or states. The third edition is a substantially expanded treatment that benefits from new work performed in nonlinear robust estimation and features:new chapters related to the use of nonlinear filterin...