Approximation problems with the divergence criterion for Gaussian variables and Gaussian processes

DOI10.1016/S0167-6911(98)00053-XzbMath0909.93074OpenAlexW2106866147WikidataQ126421507 ScholiaQ126421507MaRDI QIDQ1274578

K. Appert

Publication date: 12 January 1999

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(98)00053-x

zbMATH Keywords

system identificationGaussian processesdivergence criterioncanonical variable formsubspace identification algorithm

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

Related Items (2)

Parameter identifiability with Kullback-Leibler information divergence criterion ⋮ An extended orthogonal forward regression algorithm for system identification using entropy

Cites Work

• The weak and strong Gaussian probabilistic realization problem
• Subspace algorithms for the stochastic identification problem
• Canonical correlation analysis, approximate covariance extension, and identification of stationary time series
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
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