Invariant system description of the stochastic realization

DOI10.1016/0005-1098(79)90026-8zbMath0407.93039OpenAlexW2478843706MaRDI QIDQ1258278

M. E. Warren, J. V. Candy, Thomas E. Bullock

Publication date: 1979

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(79)90026-8

zbMATH Keywords

IdentificationRealizationStochastic SystemsSpectral DensityCanonical FormsStochastic RealizationTransformation Group

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Stochastic systems in control theory (general) (93E03) Realizations from input-output data (93B15)

Cites Work

• Canonical forms for the identification of multivariable linear systems
• Discrete Kalman filtering using a generalized companion form
• On the factorization of discrete-time rational spectral density matrices
• Structure determination and parameter identification for multivariable stochastic linear systems
• Realization of invariant system descriptions from infinite Markov sequences
• An innovations approach to least-squares estimation--Part VI: Discrete-time innovations representations and recursive estimation
• Invariant Description of Linear, Time-Invariant Controllable Systems
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