From time series to linear system, II. Exact modelling
type: Item
instance of: scholarly article
title: From time series to linear system, II. Exact modelling
zbMATH Open document ID: 0628.62088
DOI: 10.1016/0005-1098(86)90005-1
author: Jan C. Willems
published in: Automatica
publication date: 1986-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 93E12
Mathematics Subject Classification ID: 93A05
Mathematics Subject Classification ID: 93E25
zbMATH DE Number: 4022428
zbMATH Keywords: linear systems
zbMATH Keywords: data reduction
zbMATH Keywords: most powerful unfalsified model
zbMATH Keywords: exact model
zbMATH Keywords: q-dimensional infinite time series
zbMATH Keywords: minimal state space realization
zbMATH Keywords: algorithms
reviewed by: Pedro A. Morettin
MaRDI profile type: Publication
full work available at URL: 0005-1098(86)90005-1
OpenAlex ID: W2079365071
cites work: Q5638871
cites work: Q3219650
cites work: Creative and non-creative definitions in the calculus of probability
description: scientific article; zbMATH DE number 4022428