Identification of Stochastic Models from Observations
Having studied methods for analyzing a signal that was interpreted as a realization of a stochastic process, we now turn to some basics of model-based data analysis. We shall formulate the questions which may be addressed for a given set of data assuming a suitable model or a suitable structure of a model.
KeywordsShort Path Stochastic Model Kalman Filter Regularization Parameter Observation Equation
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