Model Identification and Data Analysis

Bibliography

Further reading

Time series analysis

1. Bisgaard, S. and Kulahci, M. (2011). Time Series Analysis and Forecasting by Example. Wiley.
2. Bittanti, S. (ed.) (1986). Time Series and Linear Systems. Springer‐Verlag.
3. Box, G.E.P. and Jenkins, G.M. (1970). Time Series Analysis: Forecasting and Control. Wiley. A modernized edition with G.C. Reinsel as third author has been published in 2013.
4. Brockwell, P.J. and Davis, E.A. (1991). Time Series: Theory and Methods. Springer.
5. Shumway, R.H. and Stoffer, D.S. (2000). Time Series Analysis and its Applications. Springer.

Stochastic systems

1. Hannan, E.J. and Deistler, M. (1988). The Statistical Theory of Linear Systems. Wiley.
2. Lindquist, A. and Picci, G. (2015). Linear Stochastic Systems. Springer.
3. Speyer, J.L. and Chung, W. (2008). Stochastic Processes, Estimation and Control. SIAM.

System identification

1. Bittanti, S. and Picci, G. (eds) (1996). Identification, Adaptation, Learning ‐ The Science of Learning Models from Data. Springer.
2. Chen, H.F. and Zhao, W. (2017). Recursive Identification and Parameter Estimation. CRC Press.
3. Guidorzi, R. (2003). Multi‐Variable System Identification. From Observations to Models. Bononia University Press.
4. Kailath, T., Sayed, A.H., and Hassibi, B. (2000). Linear Estimation. Prentice‐Hall.
5. Katayama, T. (2005). Subspace Methods for System Identification. Springer.
6. Ljung, L. (1995). System Identification Toolbox for Use with MATLAB. The MathWorks.
7. Ljung, L. (1999). System Identification: Theory for the User