On the multivariable approximate stochastic realization problem

DOI10.1080/17442509108833673zbMath0725.60027OpenAlexW2000780746MaRDI QIDQ5203424

Andrea Gombani

Publication date: 1991

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833673

zbMATH Keywords

multivariate stationary processLindquist-Picci algorithmminimal stochastic realizationapproximate Markovian representation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic processes (60G99)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A general Hankel-norm approximation scheme for linear recursive filtering
• On the distance between lattices of invariant subspaces of matrices
• Weighted Hankel-norm approximation: Calculation of bounds
• On approximate stochastic realization
• On functions orthogonal to invariant subspaces
• The multiplicative structure of 𝐽-contractive matrix functions
• On the structure of state-space models for discrete-time stochastic vector processes
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Realization Theory for Multivariate Stationary Gaussian Processes
• Consistent Approximations of Linear Stochastic Models
• Minimal cascade factorization of real and complex rational transfer matrices
• Schur recursions, error formulas, and convergence of rational estimators for stationary stochastic sequences
• On stochastic realization theory
• ANALYTIC PROPERTIES OF SCHMIDT PAIRS FOR A HANKEL OPERATOR AND THE GENERALIZED SCHUR-TAKAGI PROBLEM

This page was built for publication: On the multivariable approximate stochastic realization problem