From time series to linear system, II. Exact modelling
This is the continuation of part I, ibid. 22, 561-580 (1986; Zbl 0604.62090). Here, problems of finding an exact model for a q-dimensional infinite time series and of obtaining a minimal state space realization of the observed time series are considered. Several algorithms for obtaining a most powerful (AR) model are derived.
scientific article; zbMATH DE number 4022428