Linear Stochastic Systems

Preface to the Classics Edition;
Preface;
Chapter 0: Introduction;
Chapter 1: Stochastic Processes;
Chapter 2: Linear Stochastic Systems;
Chapter 3: Estimation Theory;
Chapter 4: Stochastic Realization Theory;
Chapter 5: System Identification: Foundations and Basic Concepts;
Chapter 6: Least Squares Parameter Estimation;
Chapter 7: Maximum Likelihood Estimation of Gaussian ARMAX and State-Space Systems;
Chapter 8: Minimum Prediction Error Identification Methods;
Chapter 9: Nonstationary System Identification;
Chapter 10: Feedback, Causality, and Closed Loop System Identification;
Chapter 11: Linear-Quadratic Stochastic Control;
Chapter 12: Stochastic Adaptive Control;
Appendices;
Appendix 1: Probability Theory;
Appendix 2: System Theory;
Appendix 3: Harmonic and Related Analysis;
References;
Index.