Control systems approach to the sample inverse covariance matrix

DOI10.1016/j.jfranklin.2008.08.007zbMath1166.93373OpenAlexW1975250194MaRDI QIDQ924050

Elsie Sterbin Gottlieb

Publication date: 27 July 2009

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2008.08.007

zbMATH Keywords

parameter estimationcovariance matrixWiener filterRLS

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Related Items (2)

Parametric inverse of severely ill-conditioned Hermitian matrices in signal processing ⋮ A unified family of recursive algorithms using feedback

Cites Work

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• Matrix derivatives with an application to an adaptive linear decision problem
• The Fitting of Time-Series Models
• Kronecker products and matrix calculus in system theory
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
• Automatic variance control and variance estimation loops

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