Realization Theory for Multivariate Stationary Gaussian Processes

DOI10.1137/0323050zbMath0593.93048OpenAlexW2063084473MaRDI QIDQ3724200

Giorgio Picci, Anders Lindquist

Publication date: 1985

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1c2ce63b59f8e79ec488ca0d51fa809ca347bffa

zbMATH Keywords

minimalitysplitting subspacestochastic realizationHardy functionsstationary Gaussian vector processdifferential-equations type stochastic realizations

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Minimal systems representations (93B20) Observability (93B07) Stochastic systems in control theory (general) (93E03) Realizations from input-output data (93B15)

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