Literature

  • E. L. Lehmann and G. Casella: Theory of Point Estimation, Wiley & sons, 1998.
  • Lennart Ljung, System identification: Theory for the user, 2nd ed. Prentice-Hall 1999.
  • Parts of K.L. Chung, A Course in Probability Theory, Academic Press, 1974
  • Lecture Notes
    • Version 1: 181023
    • Version 2: 181031
    • Version 3: 181110
    • Version 4: 181121 . Update 181127 with correction of Exercises 4.9.4,4.9.5
    • Version 5: 181128
    • Version 6: 181212
    • Version 7: 190108
    • Version 8: 190111 (Correction of preamble in Section 5.3.8 Exercises y(t)=e(t)+ce(t) should be y(t)=e(t)+ce(t-1) )

A very good complement to Ljung's book is:

Torsten Söderström and Petre Stoica: System Identification, 1989

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