Structure of stationary finite observation records of discrete-time stochastic linear systems

DOI10.1109/TAC.1983.1103281zbMATH Open0547.93057MaRDI QIDQ3340736

Bradley W. Dickinson

Publication date: 1983

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

sufficient statisticsstate space representationstochastic realizationautoregressive-moving average processesdiscrete-time stationary Gaussian stochastic processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Characterization and structure theory of statistical distributions (62E10) Stochastic systems in control theory (general) (93E03) Realizations from input-output data (93B15) Sufficient statistics and fields (62B05)

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