The weak and strong Gaussian probabilistic realization problem

DOI10.1016/0047-259X(83)90008-8zbMath0527.60033MaRDI QIDQ595264

Jan H. van Schuppen, Cornelis M. van Putten

Publication date: 1983

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

canonical representationsconditional independenceweak stochastic realization problem

Mathematics Subject Classification ID

Gaussian processes (60G15) Discrete-time Markov processes on general state spaces (60J05) Identification in stochastic control theory (93E12) Stochastic systems in control theory (general) (93E03) Probabilistic measure theory (60A10) Realizations from input-output data (93B15)

Related Items (4)

Common, Correlated, and Private Information in Control of Decentralized Systems ⋮ Parametrization of factor analysis models ⋮ Identification and estimation of dynamic errors-in-variables models ⋮ Approximation problems with the divergence criterion for Gaussian variables and Gaussian processes

Cites Work

• On minimal splitting subspaces and markovian representations
• Linear Statistical Inference and its Applications
• RELATIONS BETWEEN TWO SETS OF VARIATES
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