Characterizing innovations realizations for random processes

DOI10.1080/17442508308833283zbMath0533.60050OpenAlexW1999160953MaRDI QIDQ3316307

Bradley W. Dickinson, Carla A. Schwartz, Eduardo D. Sontag

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833283

zbMATH Keywords

finite dimensional innovationsfinite dimensional linear filtersecond order linear innovations

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• On Minimal Splitting Subspaces and Stochastic Realizations
• Stochastic theory of minimal realization
• Un codage non commutatif pour certains systmes chantillonns non linaires
• An innovations approach to least-squares estimation--Part VI: Discrete-time innovations representations and recursive estimation
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