Estimation of multivariate signal by output autocovariance data in linear discrete-time systems

DOI10.1016/0895-7177(96)00084-2zbMath0858.93068OpenAlexW1994276527MaRDI QIDQ1922187

Yanyan Li

Publication date: 25 November 1996

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0895-7177(96)00084-2

zbMATH Keywords

system identificationautoregressive modeldata smoothing

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Data smoothing in stochastic control theory (93E14) Identification in stochastic control theory (93E12)

Related Items (2)

Design of quadratic estimators using covariance information in linear discrete-time stochastic systems ⋮ Filtering of images corrupted by multiplicative and white plus coloured additive noises using covariance information

Cites Work

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• Lectures on linear least-squares estimation
• Application of the lattice filter to robust estimation of AR and ARMA models
• Stochastic theory of minimal realization

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