LiU startsida
Errata list
| PAGE | LINE | IN BOOK | SHOULD BE |
| 32 | -2 | summation index N-k+1 | \tau = N-k+1 |
| 33 | 2 | e^{i\omega\tau} | e^{-i\omega\tau} |
| 36 | 2 | e^{i\omega\tau} | e^{-i\omega\tau} |
| 36 | eq (2.66) | Summation index k=1 to M | k=0 to M-1 |
| 48 | 10 | \int | \frac{1}{2\pi i}\int |
| 53 | 2 | R_s(\tau) - R_s^N(\tau) | ||R_s(\tau) - R_s^N(\tau)|| |
| 54 | -7 | \Phi_s | \Phi_w |
| 65 | -7 | drived | derived |
| 98 | -10 | s \le 1 | s \le t-1 |
| 176 | 16 (eq (6.34a)) | G_0(e^{-i\omega}) | G_0(e^{-i\xi}) |
| 180 | -3 (eq (6.48)) | \Phi_{uy} | \Phi_u |
| 193 | -12 | ... , = ... | ... , M = ... |
| 201 | 14 (eq (7.21)) | summation from k =1 | summation from k = 0 |
| 211 | 7 | u(t+k) | u(t+k-1) |
| 215 | -7 | M^{-1} | N M^{-1} |
| 218 | 6 | [log f]'=f'/f | [-log f]'=-f'/f |
| 235 | -5 | Section 7.8 | Section7.7 |
| 236 | 12 (Problem 7G2) | Summation to k = N | Summation to k = n |
| 249 | 11 | u = w | u = r |
| 251 | 12 | {w(t)} | {r(t)} |
| 260 | 5 | an | and |
| 265 | 18 (in eq (8.68)) | \Phi_{ue} | \Phi_{eu} |
| 289 | 15 (below eq (9.45)) | \psi_\rho(t+1) | \psi_\rho(t+i) |
| 330 | 4 | ... = - q^{-k}y(t) | ... = q^{-k}y(t) |
| 330 | 2 | ... = - q^{-k}u(t) | ... = q^{-k}u(t) |
| 330 | eq (1054.b) | ... = - \frac{D(q)}{C(q)F(q)} | ... = \frac{D(q)}{C(q)F(q)}) |
| 332 | -13 to -15 (3 places) | (\beta\varphi - \gamma) | (\beta(\varphi - \gamma)) |
| 347 | 10 (in eq (10.110b)) | lim 1/N \Pi ... | lim X 1/N \Pi ... |
| 350 | 15 (in eq (10.128b)) | O_r ... | \hat{O}_r ... |
| 357 | 19-20 | E | \bar{E} |
| 436 | eq (13.56) | \arg\min = | \arg\min |
| 456 | Problem 13G.4 | equation for V_N | add a term "N \log \lambda_1 \lambda_2" |
| 456 | Problem 13E.3 | not possible | .. asymptotically if G can be correctly modeled |
| 480 | 2 | aspects. | aspects, |
| 481 | 3 | different \ell | different f_e |
| 497 | -7 | identiflability | identifiability |
| 505 | (16.36) [see below] | \sum \frac{\sigma_i^2}{(\sigma_i+\delta)^2} | \sum \frac{\sigma_i}{\sigma_i+2\delta} |
| 518 | 7 | Givers | Gevers |
| 513 | -10 | eq (16.63) | Switch the transpose on r_M^N |
| 513 | -13 | element of P | element of \lambda*P |
Correction and clarification
The expression (8.66) for the spectrum of y is not correct. There is another term. Its integral is however zero, so the discussion following (8.66) about limit estimates is not affected. The simplest way to realize this is to write (8.65) as \epsilon(t)=h(t)+e_0(t). Here h(t) and e_0(t) are uncorrelated, so the variance of \epsilon is equal to the variance of h plus \lambda_0. The spectrum of h is the first term of (8.66), so the discussion can go on from there.
Regarding (16.36) there are two errors in the derivation: First on
line 4 page 505, the Hessian is W" = V" + 2 \delta I. Second, on
line 7, the first factors H(H+\delta I) should be omitted, and in
the
last factor \delta I should be replaced by 2\delta I (as just
noted).
I am grateful to Robert Bos at Delft for sorting this out.
Page responsible: Lennart Ljung
Last updated: 2024-08-20
