Recursive Estimation and Time-Series Analysis

An Introduction for the Student and Practitioner

Authors: Young, Peter C.

  • Intended for undergraduate or Masters students who wish to obtain a grounding in this subject
  • Written for practitioners in industry
  • Written for experts in this field
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About this Textbook

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, 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 MatlabTM 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.

Reviews

From the book reviews:

“This book is designed as an introductory reference and is written in an elegant and intuitive manner so as to enable students to understand such important and challenging topics as time series, system identification and recursive estimation methods. … The book is highly recommended for the bookshelf of any student or practitioner who is beginning to deal with stochastic modelling, as well as for academics who need to explore methods beyond standard linear regressions for the process under study.” (Juan R. Trapero, International Journal of Forecasting, October, 2014)

Table of contents (2 chapters)

  • Introduction

    Prof. Peter C. Young

    Pages 1-9

  • Recursive Estimation: A Simple Tutorial Introduction

    Prof. Peter C. Young

    Pages 13-27

Buy this book

eBook $89.00
price for USA
  • ISBN 978-3-642-21981-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Download immediately after purchase
Hardcover $119.00
price for USA
  • ISBN 978-3-642-21980-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $119.00
price for USA
  • ISBN 978-3-642-44129-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Recursive Estimation and Time-Series Analysis
Book Subtitle
An Introduction for the Student and Practitioner
Authors
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-21981-8
DOI
10.1007/978-3-642-21981-8
Hardcover ISBN
978-3-642-21980-1
Softcover ISBN
978-3-642-44129-5
Edition Number
2
Number of Pages
XVII, 504
Topics