April 2022
Intermediate to advanced
304 pages
8h 12m
English
In many branches of science and engineering, deriving a probabilistic model for sequential data plays a key role. System theory provides guidelines for studying the underlying dynamics of sequential data (time series). In describing a dynamic system, the notion of state is a key concept [1]:
According to the principle of causality, any dynamic system may be described from the state perspective. Deploying a state‐transition model allows for determining the future state of a system,
, at any time instant
, given its initial state,
, at time instant as well as the inputs to the system, , for . The output of the system, ...