Spectral factorization of a finite-dimensional nonstationary matrix covariance

DOI10.1109/TAC.1974.1100700zbMath0297.93053OpenAlexW2000492564MaRDI QIDQ4052012

Brian D. O. Anderson, Peter J. Moylan

Publication date: 1974

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

Full work available at URL: https://doi.org/10.1109/tac.1974.1100700

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

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