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System Identification: Theory for the User, Second Edition by Lennart Ljung - Linköping University Sweden

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Appendix II. Some Statistical Techniques for Linear Regressions

The purpose of this appendix is twofold: First, to provide a refresher of basic statistical techniques so as to form a proper background for Part II of this book; second, methods, algorithms, theoretical analysis, and statistical properties for linear regression estimates are all archetypal for the more complicated structures we discuss in Part II. This appendix can therefore also be read as a preview of ideas and analysis, maximally stripped from technical complications. The appendix has a format so that it can be read independently of the rest of the book (and vice versa).

II.1 Linear Regressions and the Least Squares Estimate

Linear regressions are among the most common models ...

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