GENERALIZED SINGULAR VALUE DECOMPOSITION AND ITS APPLICATIONS IN MODEL ANALYSIS

DOI10.1142/S0219024906003500zbMath1137.93413MaRDI QIDQ5291318

Natalia A. Andrianova, Humberto Sarria Zapata, Eugene V. Dulov

Publication date: 10 May 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

identificationadaptive filteringgeneralized singular value decompositiondata prediction

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of matrix norms, conditioning, scaling (65F35)

Cites Work

• A New Preprocessing Algorithm for the Computation of the Generalized Singular Value Decomposition
• Computing the Generalized Singular Value Decomposition
• Computing the Generalized Singular Value Decomposition

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