Non-full-rank causal approximations of full-rank multivariate stationary processes with rational spectrum

DOI10.1016/0167-6911(90)90120-JzbMath0724.93070OpenAlexW2067746600MaRDI QIDQ2277227

Philippe Loubaton

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0167-6911(90)90120-j

zbMATH Keywords

Nehari probleminner functionsMarkovian representationHankel operators with rational symbolq-variate wide-sense stationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic systems in control theory (general) (93E03)

Cites Work

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• A course in \(H_{\infty}\) control theory
• Prediction theory and Fourier series in several variables. II
• Optimal Hankel norm model reductions and Wiener-Hopf factorization II: The non-canonical case
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Realization Theory for Multivariate Stationary Gaussian Processes
• Optimal Hankel Norm Model Reductions and Wiener–Hopf Factorization I: The Canonical Case
• Infinite Hankel block matrices and related extension problems

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