Approximate predictor and filter for partially observed vector ARMA processes

DOI10.1016/0898-1221(85)90098-7zbMath0592.62077OpenAlexW1982776467MaRDI QIDQ1075732

István Bencsik

Publication date: 1985

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(85)90098-7

zbMATH Keywords

interpolationstabilitycontrollabilityObservabilityARMA(k,k)L sub 2 optimal filterL sub 2 optimal predictorpartially observed vector autoregressive moving average processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• Prediction and filtration of a partially observed vector ARMA system of first order
• Canonical matrix fraction and state-space descriptions for deterministic and stochastic linear systems
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