Prediction and Regulation by Linear Least-Square Methods

Author:

Peter Whittle
Foreword by Thomas J. Sargent

The new chapters are useful, well-explained, and offer a good overview of most developments since Whittle first wrote. As a whole, the book is an excellent piece of scholarship and should be read by everyone concerned with the theory of prediction.

David F. Hendry, Nuffield College, Oxford

Prediction and Regulation by Linear Least-Square Methods was first published in 1963. This revised second edition was issued in 1983. Minnesota Archive Editions uses digital technology to make long-unavailable books once again accessible, and are published unaltered from the original University of Minnesota Press editions.

During the past two decades, statistical theories of prediction and control have assumed an increasing importance in all fields of scientific research. To understand a phenomenon is to be able to predict it and to influence it in predictable ways. First published in 1963 and long out of print, Prediction and Regulation by Linear Least-Square Methods offers important tools for constructing models of dynamic phenomena. This elegantly written book has been a basic reference for researchers in many applied sciences who seek practical information about the representation and manipulation of stationary stochastic processes. Peter Whittle’s text has a devoted group of readers and users, especially among economists. This edition contains the unchanged text of the original and adds new works by the author and a foreword by economist Thomas J. Sargent.

Peter Whittle is former Churchill Professor of the Mathematics of Operational Research at the University of Cambridge.

Thomas J. Sargent is Berkeley Professor of Economics and Business at New York University.

The new chapters are useful, well-explained, and offer a good overview of most developments since Whittle first wrote. As a whole, the book is an excellent piece of scholarship and should be read by everyone concerned with the theory of prediction.

David F. Hendry, Nuffield College, Oxford

For nearly a quarter century [this book has been] a basic text and reference for those seeking practical information.

John Geweke, Duke University