Subspace Methods for System Identification: A Realization Approach

Description

A mathematically rigorous but accessible treatment of digital signal processing that intertwines basic theoretical techniques with hands-on laboratory instruction is provided by this book. The book covers various aspects of the digital signal processing (DSP) "problem". It begins with the analysis of discrete-time signals and explains sampling and the use of the discrete and fast Fourier transforms. The second part of the book — covering digital to analog and analog to digital conversion — provides a practical interlude in the mathematical content before Part III lays out a careful development of the Z-transform and the design and analysis of digital filters Introduction; Linear Algebra and Preliminaries; Discrete-Time Linear Systems; Stochastic Processes; Kalman Filter; Realization of Deterministic Systems; Stochastic Realization Theory (1); Stochastic Realization Theory (2); Subspace Identification (1) -- ORT; Subspace Identification (2) -- CCA; Identification of Closed-loop System