Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications

DOI10.1007/BF02551381zbMath0736.93077OpenAlexW203008548MaRDI QIDQ1176540

Pham Dinh Tuan, Alain Le Breton

Publication date: 25 June 1992

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02551381

zbMATH Keywords

Wiener processrecurrence algorithmsrandom continuous-time autoregressive process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03)

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Cites Work

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• Estimation of parameters of a continuous time Gaussian stationary process with rational spectral density