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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