The State Space Method

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State-Space Methods for Time Series Analysis

Jose Casals,Alfredo Garcia-Hiernaux,Miguel Jerez,Sonia Sotoca,A. Alexandre Trindade
State Space Methods for Time Series Analysis Book PDF

Author : Jose Casals,Alfredo Garcia-Hiernaux,Miguel Jerez,Sonia Sotoca,A. Alexandre Trindade
Publisher : CRC Press
Page : 286 pages
File Size : 45,9 Mb
Release : 2018-09-03
Category : Mathematics
ISBN : 9781315360256

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State-Space Methods for Time Series Analysis by Jose Casals,Alfredo Garcia-Hiernaux,Miguel Jerez,Sonia Sotoca,A. Alexandre Trindade Pdf

The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, aggregation constraints, or missing in-sample values. Exploring the advantages of this approach, State-Space Methods for Time Series Analysis: Theory, Applications and Software presents many computational procedures that can be applied to a previously specified linear model in state-space form. After discussing the formulation of the state-space model, the book illustrates the flexibility of the state-space representation and covers the main state estimation algorithms: filtering and smoothing. It then shows how to compute the Gaussian likelihood for unknown coefficients in the state-space matrices of a given model before introducing subspace methods and their application. It also discusses signal extraction, describes two algorithms to obtain the VARMAX matrices corresponding to any linear state-space model, and addresses several issues relating to the aggregation and disaggregation of time series. The book concludes with a cross-sectional extension to the classical state-space formulation in order to accommodate longitudinal or panel data. Missing data is a common occurrence here, and the book explains imputation procedures necessary to treat missingness in both exogenous and endogenous variables. Web Resource The authors’ E4 MATLAB® toolbox offers all the computational procedures, administrative and analytical functions, and related materials for time series analysis. This flexible, powerful, and free software tool enables readers to replicate the practical examples in the text and apply the procedures to their own work.

The State Space Method

Daniel Alpay,Israel Gohberg
The State Space Method Book PDF

Author : Daniel Alpay,Israel Gohberg
Publisher : Springer Science & Business Media
Page : 292 pages
File Size : 50,9 Mb
Release : 2006
Category : Language Arts & Disciplines
ISBN : 3764373709

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The State Space Method by Daniel Alpay,Israel Gohberg Pdf

The state space method developed in the last decades allows us to study the theory of linear systems by using tools from the theory of linear operators; conversely, it had a strong influence on operator theory introducing new questions and topics. The present volume contains a collection of essays representing some of the recent advances in the state space method. Methods covered include noncommutative systems theory, new aspects of the theory of discrete systems, discrete analogs of canonical systems, and new applications to the theory of Bezoutiants and convolution equations. The articles in the volume will be of interest to pure and applied mathematicians, electrical engineers and theoretical physicists.

Control System Design

Bernard Friedland
Control System Design Book PDF

Author : Bernard Friedland
Publisher : Courier Corporation
Page : 530 pages
File Size : 53,9 Mb
Release : 2012-03-08
Category : Science
ISBN : 9780486135113

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Control System Design by Bernard Friedland Pdf

Introduction to state-space methods covers feedback control; state-space representation of dynamic systems and dynamics of linear systems; frequency-domain analysis; controllability and observability; shaping the dynamic response; more. 1986 edition.

Linear State-Space Control Systems

Robert L. Williams, II,Douglas A. Lawrence
Linear State Space Control Systems Book PDF

Author : Robert L. Williams, II,Douglas A. Lawrence
Publisher : John Wiley & Sons
Page : 485 pages
File Size : 55,9 Mb
Release : 2007-02-09
Category : Technology & Engineering
ISBN : 9780471735557

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Linear State-Space Control Systems by Robert L. Williams, II,Douglas A. Lawrence Pdf

The book blends readability and accessibility common to undergraduate control systems texts with the mathematical rigor necessary to form a solid theoretical foundation. Appendices cover linear algebra and provide a Matlab overivew and files. The reviewers pointed out that this is an ambitious project but one that will pay off because of the lack of good up-to-date textbooks in the area.

Time Series Analysis by State Space Methods

James Durbin,Siem Jan Koopman
Time Series Analysis by State Space Methods Book PDF

Author : James Durbin,Siem Jan Koopman
Publisher : OUP Oxford
Page : 369 pages
File Size : 48,8 Mb
Release : 2012-05-03
Category : Business & Economics
ISBN : 9780191627194

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Time Series Analysis by State Space Methods by James Durbin,Siem Jan Koopman Pdf

This new edition updates Durbin & Koopman's important text on the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. Additions to this second edition include the filtering of nonlinear and non-Gaussian series. Part I of the book obtains the mean and variance of the state, of a variable intended to measure the effect of an interaction and of regression coefficients, in terms of the observations. Part II extends the treatment to nonlinear and non-normal models. For these, analytical solutions are not available so methods are based on simulation.

Linear System Theory

Frank M. Callier,Charles A. Desoer
Linear System Theory Book PDF

Author : Frank M. Callier,Charles A. Desoer
Publisher : Springer Science & Business Media
Page : 524 pages
File Size : 46,6 Mb
Release : 2012-12-06
Category : Technology & Engineering
ISBN : 9781461209577

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Linear System Theory by Frank M. Callier,Charles A. Desoer Pdf

This book is the result of our teaching over the years an undergraduate course on Linear Optimal Systems to applied mathematicians and a first-year graduate course on Linear Systems to engineers. The contents of the book bear the strong influence of the great advances in the field and of its enormous literature. However, we made no attempt to have a complete coverage. Our motivation was to write a book on linear systems that covers finite dimensional linear systems, always keeping in mind the main purpose of engineering and applied science, which is to analyze, design, and improve the performance of phy sical systems. Hence we discuss the effect of small nonlinearities, and of perturbations of feedback. It is our on the data; we face robustness issues and discuss the properties hope that the book will be a useful reference for a first-year graduate student. We assume that a typical reader with an engineering background will have gone through the conventional undergraduate single-input single-output linear systems course; an elementary course in control is not indispensable but may be useful for motivation. For readers from a mathematical curriculum we require only familiarity with techniques of linear algebra and of ordinary differential equations.

State Space Grids

Tom Hollenstein
State Space Grids Book PDF

Author : Tom Hollenstein
Publisher : Springer Science & Business Media
Page : 135 pages
File Size : 44,5 Mb
Release : 2012-10-28
Category : Psychology
ISBN : 9781461450078

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State Space Grids by Tom Hollenstein Pdf

Human development from birth through adulthood is a complex interplay of many interacting forces. Children’s internal processes are manifest in behaviors that are sculpted by their experiences, most notably with primary caregivers. Because the discipline of psychology explores human behavior and cognition, the techniques employed for developmental analysis must be able to describe, depict, and quantify these complex processes. State Space Grids provides the framework, basic method, rationale, and advanced techniques for translating the behavior of children, adolescents, and parents into visible, traceable data. This seminar-between-covers takes readers step by step from conceptualization through implementation of projects, with examples from a range of current research within and outside child development. Links are included for the GridWare software program and related user resources. And although state space grids need not be used only to analyze dynamic systems, they serve as an excellent tool for honing systemic thinking. Key coverage in this volume includes: Dynamic systems and the origins of state space grids. The state of research using state space grids. Introducing GridWare and how it works. How to use state space grids, from idea through finished project. Within-grid and between-grid analysis. Conducting advanced analysis. State Space Grids is an essential reference for researchers across such disciplines as psychology, neuroscience, economics, computer science, and agricultural science.

Modern Control: State-Space Analysis and Design Methods

Arie Nakhmani
Modern Control State Space Analysis and Design Methods Book PDF

Author : Arie Nakhmani
Publisher : McGraw Hill Professional
Page : 192 pages
File Size : 42,8 Mb
Release : 2020-05-01
Category : Technology & Engineering
ISBN : 9781260459258

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Modern Control: State-Space Analysis and Design Methods by Arie Nakhmani Pdf

Publisher's Note: Products purchased from Third Party sellers are not guaranteed by the publisher for quality, authenticity, or access to any online entitlements included with the product. Apply a state-space approach to modern control system analysis and design Written by an expert in the field, this concise textbook offers hands-on coverage of modern control system engineering. Modern Control: State-Space Analysis and Design Methods features start-to-finish design projects as well as online snippets of MATLAB code with simulations. The essential mathematics are presented along with fully worked-out examples in gradually increasing degrees of difficulty. Readers will receive “just-in-time” math background from a comprehensive appendix and get step-by-step descriptions of the latest analysis and design techniques. Coverage includes: • An introduction to control systems • State-space representations • Pole placement via state feedback • State estimators (observers) • Non-minimal canonical forms • Linearization • Lyapunov stability • Linear quadratic regulators (LQR) • Symmetric root locus (SRL) • Kalman filter • Linear quadratic gaussian control (LQG)

Factorization of Matrix and Operator Functions: The State Space Method

Harm Bart,Israel Gohberg,Marinus A. Kaashoek,André C.M. Ran
Factorization of Matrix and Operator Functions The State Space Method Book PDF

Author : Harm Bart,Israel Gohberg,Marinus A. Kaashoek,André C.M. Ran
Publisher : Springer Science & Business Media
Page : 409 pages
File Size : 40,5 Mb
Release : 2007-12-20
Category : Mathematics
ISBN : 9783764382681

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Factorization of Matrix and Operator Functions: The State Space Method by Harm Bart,Israel Gohberg,Marinus A. Kaashoek,André C.M. Ran Pdf

This book delineates the various types of factorization problems for matrix and operator functions. The problems originate from, or are motivated by, the theory of non-selfadjoint operators, the theory of matrix polynomials, mathematical systems and control theory, the theory of Riccati equations, inversion of convolution operators, and the theory of job scheduling in operations research. The book presents a geometric principle of factorization which has its origins in the state space theory of linear input-output systems and in the theory of characteristic operator functions.

Time Series Analysis by State Space Methods

James Durbin,Siem Jan Koopman
Time Series Analysis by State Space Methods Book PDF

Author : James Durbin,Siem Jan Koopman
Publisher : Oxford University Press
Page : 280 pages
File Size : 48,5 Mb
Release : 2001-06-21
Category : Business & Economics
ISBN : 0198523548

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Time Series Analysis by State Space Methods by James Durbin,Siem Jan Koopman Pdf

State space time series analysis emerged in the 1960s in engineering, but its applications have spread to other fields. Durbin (statistics, London School of Economics and Political Science) and Koopman (econometrics, Free U., Amsterdam) extol the virtues of such models over the main analytical system currently used for time series data, Box-Jenkins' ARIMA. What distinguishes state space time models is that they separately model components such as trend, seasonal, regression elements and disturbance terms. Part I focuses on traditional and new techniques based on the linear Gaussian model. Part II presents new material extending the state space model to non-Gaussian observations. c. Book News Inc.

State Space Analysis

LaMar K. Timothy,Blair E. Bona
State Space Analysis Book PDF

Author : LaMar K. Timothy,Blair E. Bona
Publisher : Unknown
Page : 424 pages
File Size : 45,5 Mb
Release : 1968
Category : State-space methods
ISBN : UCAL:B4406441

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State Space Analysis by LaMar K. Timothy,Blair E. Bona Pdf

Problems after each chapter

Advanced State Space Methods for Neural and Clinical Data

Zhe Chen
Advanced State Space Methods for Neural and Clinical Data Book PDF

Author : Zhe Chen
Publisher : Cambridge University Press
Page : 397 pages
File Size : 55,9 Mb
Release : 2015-10-15
Category : Computers
ISBN : 9781107079199

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Advanced State Space Methods for Neural and Clinical Data by Zhe Chen Pdf

An authoritative and in-depth treatment of state space methods, with a range of applications in neural and clinical data.

State-Space Methods for Time Series Analysis

Jose Casals,Alfredo Garcia-Hiernaux,Miguel Jerez,Sonia Sotoca,A. Alexandre Trindade
State Space Methods for Time Series Analysis Book PDF

Author : Jose Casals,Alfredo Garcia-Hiernaux,Miguel Jerez,Sonia Sotoca,A. Alexandre Trindade
Publisher : CRC Press
Page : 270 pages
File Size : 49,7 Mb
Release : 2018-09-03
Category : Mathematics
ISBN : 9781315362601

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State-Space Methods for Time Series Analysis by Jose Casals,Alfredo Garcia-Hiernaux,Miguel Jerez,Sonia Sotoca,A. Alexandre Trindade Pdf

The state-space approach provides a formal framework where any result or procedure developed for a basic model can be seamlessly applied to a standard formulation written in state-space form. Moreover, it can accommodate with a reasonable effort nonstandard situations, such as observation errors, aggregation constraints, or missing in-sample values. Exploring the advantages of this approach, State-Space Methods for Time Series Analysis: Theory, Applications and Software presents many computational procedures that can be applied to a previously specified linear model in state-space form. After discussing the formulation of the state-space model, the book illustrates the flexibility of the state-space representation and covers the main state estimation algorithms: filtering and smoothing. It then shows how to compute the Gaussian likelihood for unknown coefficients in the state-space matrices of a given model before introducing subspace methods and their application. It also discusses signal extraction, describes two algorithms to obtain the VARMAX matrices corresponding to any linear state-space model, and addresses several issues relating to the aggregation and disaggregation of time series. The book concludes with a cross-sectional extension to the classical state-space formulation in order to accommodate longitudinal or panel data. Missing data is a common occurrence here, and the book explains imputation procedures necessary to treat missingness in both exogenous and endogenous variables. Web Resource The authors’ E4 MATLAB® toolbox offers all the computational procedures, administrative and analytical functions, and related materials for time series analysis. This flexible, powerful, and free software tool enables readers to replicate the practical examples in the text and apply the procedures to their own work.

State-Space Control Systems

Farzin Asadi
State Space Control Systems Book PDF

Author : Farzin Asadi
Publisher : Morgan & Claypool Publishers
Page : 171 pages
File Size : 42,6 Mb
Release : 2020-10-05
Category : Technology & Engineering
ISBN : 9781681739793

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State-Space Control Systems by Farzin Asadi Pdf

These days, nearly all the engineering problem are solved with the aid of suitable computer packages. This book shows how MATLAB/Simulink could be used to solve state-space control problems. In this book, it is assumed that you are familiar with the theory and concepts of state-space control, i.e., you took or you are taking a course on state-space control system and you read this book in order to learn how to solve state-space control problems with the aid of MATLAB/Simulink. The book is composed of three chapters. Chapter 1 shows how a state-space mathematical model could be entered into the MATLAB/Simulink environment. Chapter 2 shows how a nonlinear system could be linearized around the desired operating point with the aid of tools provided by MATLAB/Simulink. Finally, Chapter 3 shows how a state-space controller could be designed with the aid MATLAB and be tested with Simulink. The book will be useful for students and practical engineers who want to design a state-space control system.

Bayesian Inference of State Space Models

Kostas Triantafyllopoulos
Bayesian Inference of State Space Models Book PDF

Author : Kostas Triantafyllopoulos
Publisher : Springer Nature
Page : 503 pages
File Size : 45,8 Mb
Release : 2021-11-12
Category : Mathematics
ISBN : 9783030761240

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Bayesian Inference of State Space Models by Kostas Triantafyllopoulos Pdf

Bayesian Inference of State Space Models: Kalman Filtering and Beyond offers a comprehensive introduction to Bayesian estimation and forecasting for state space models. The celebrated Kalman filter, with its numerous extensions, takes centre stage in the book. Univariate and multivariate models, linear Gaussian, non-linear and non-Gaussian models are discussed with applications to signal processing, environmetrics, economics and systems engineering. Over the past years there has been a growing literature on Bayesian inference of state space models, focusing on multivariate models as well as on non-linear and non-Gaussian models. The availability of time series data in many fields of science and industry on the one hand, and the development of low-cost computational capabilities on the other, have resulted in a wealth of statistical methods aimed at parameter estimation and forecasting. This book brings together many of these methods, presenting an accessible and comprehensive introduction to state space models. A number of data sets from different disciplines are used to illustrate the methods and show how they are applied in practice. The R package BTSA, created for the book, includes many of the algorithms and examples presented. The book is essentially self-contained and includes a chapter summarising the prerequisites in undergraduate linear algebra, probability and statistics. An up-to-date and complete account of state space methods, illustrated by real-life data sets and R code, this textbook will appeal to a wide range of students and scientists, notably in the disciplines of statistics, systems engineering, signal processing, data science, finance and econometrics. With numerous exercises in each chapter, and prerequisite knowledge conveniently recalled, it is suitable for upper undergraduate and graduate courses.