Discrete-Time Stochastic Systems: Estimation and Control (Prentice Hall International Series in Systems and Control En)

This text provides an introduction to the field of stochastic dynamic systems, their estimation and control. Including the provision of computer derivations of key results, the book covers both state-space methods and methods based on the polynomial approach, with similarities and differences between the two highlighted. Some nonlinear aspects (including the bispectrum and extended Kalman filter) are also introduced and analyzed. Processes with complex-valued data are treated wherever convenient as this is of interest in many signal processing and communication problems.