An evaluation of algorithms for computing the covariance function of a multivariable arma process
From MaRDI portal
Publication:2512229
DOI10.3166/ejc.8.315-325zbMath1293.93724MaRDI QIDQ2512229
Michael Šebek, Vladimír Kučera, Didier Henrion, Torsten Söderström, Jan Jezek
Publication date: 7 August 2014
Published in: European Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3166/ejc.8.315-325
93E10: Estimation and detection in stochastic control theory
94A12: Signal theory (characterization, reconstruction, filtering, etc.)
Uses Software
Cites Work
- Unnamed Item
- Symmetric matrix polynomial equation: Interpolation results
- Discrete-time stochastic systems. Estimation and control.
- Introduction to stochastic control theory
- An efficient and versatile algorithm for computing the covariance function of an ARMA process
- The Euclid algorithm and the fast computation of cross-covariance and autocovariance sequences
- Expanding spectral density into correlation sequence
- Solution of the bilinear matrix equation using Astrom-Jury-Agniel algorithm
- Algorithm 432 [C2: Solution of the matrix equation AX + XB = C [F4]]