All-pass matrices, the positive real lemma, and unit canonical correlations between future and past

DOI10.1016/0047-259X(88)90108-XzbMath0664.62095OpenAlexW1971308366WikidataQ125017136 ScholiaQ125017136MaRDI QIDQ1115074

S. H. Smith

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0047-259x(88)90108-x

zbMATH Keywords

number of zerospositive real lemmastate space approachnumber of unit canonical correlationsfull rankall-pass matricescanonical correlation operatornumber of unit Hankel singular valuesStationary vector ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Stochastic systems and control (93E99) Stationary stochastic processes (60G10)

Related Items (3)

Balanced stochastic realizations ⋮ State-Space Analysis of Granger-Geweke Causality Measures with Application to fMRI ⋮ Model reduction by phase matching

Cites Work

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• Unitary interpolants, factorization indices and infinite Hankel Block matrices
• Unit canonical correlations between future and past
• Factorization of matrix functions and singular integral operators
• A transformation approach to stochastic model reduction
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Power spectrum reduction by optimal Hankel norm approximation of the phase of the outer spectral factor
• State-space formulae for the factorization of all-pass matrix functions
• Markovian Representation of Stochastic Processes by Canonical Variables

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