Index
A
α–β filter, 302
Algebraic Riccati equation, 280, 421
Answers to summary questions, 539–541
AR Model, 12
Asymptotic distributions, 99–101
Asymptotic efficiency (see Large sample properties of estimators)
Asymptotic mean, 100
Asymptotic normality (see Large sample properties of estimators)
Asymptotic unbiasedness (see Large sample properties of estimators)
Asymptotic variance, 100–101
Augmented state-variable model (see State augmentation)
B
Bartlett-Brillinger-Rosenblatt formulas, 478–480
Basic state-variable model, continuous-time:
defined, 414–415
properties of, 415–416, 427–428
Basic state-variable model, discrete-time (see also Not-so-basic state-variable model):
augmented, 324–325
defined, 215–216
properties of, 216–220
Basis functions, ...
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