The Identification and Estimation of Nonlinear Stochastic Systems

摘要: This chapter describes what might be called the system theorist’s approach to understanding dynamics of nonlinear stochastic systems. The method uses so-called state-dependent parameters, and is able handle non-stationarity, as long parameters vary slowly compared significant dynamics. One main points made here that most realistic systems have time-varying inputs which can measured; models must take this into account, indeed modeling often becomes easier rather than harder when done. We describe methods used, based on recursive fixed-interval smoothing, present applications some problems.