Generalized least squares innovation representation

DOI10.1016/0898-1221(88)90157-5zbMath0653.93061OpenAlexW1984578514MaRDI QIDQ1108255

György Michaletzky, István Bencsik

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0898-1221(88)90157-5

zbMATH Keywords

Riccati equationsHankel matrixinnovation representationstochastic realizationfinite dimensional discrete-time stochastic systemsgeneralized least squares algorithm

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Discrete-time control/observation systems (93C55) Matrix equations and identities (15A24) Identification in stochastic control theory (93E12) Hermitian, skew-Hermitian, and related matrices (15B57) Realizations from input-output data (93B15)

Related Items (1)

Identification of errors-in-variables models with Faurre type realization algorithms

Cites Work

• Identification of errors-in-variables models with Faurre type realization algorithms
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Markovian Representation of Stochastic Processes by Canonical Variables
• Unnamed Item

This page was built for publication: Generalized least squares innovation representation