Characterization of Stationary Discrete-Time Gaussian Reciprocal Processes over a Finite Interval

DOI10.1137/S0895479801368622zbMath1027.60034OpenAlexW2057034079MaRDI QIDQ4785777

Augusto Ferrante, Bernard C. Levy

Publication date: 5 January 2003

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0895479801368622

zbMATH Keywords

covariance matrixsymplectic matrix pencilGaussian reciprocal process

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Hermitian, skew-Hermitian, and related matrices (15B57) Canonical forms, reductions, classification (15A21) Matrix pencils (15A22)

Related Items (6)

A unified approach to finite-horizon generalized LQ optimal control problems for discrete-time systems ⋮ Modeling of Stationary Periodic Time Series by ARMA Representations ⋮ Periodic vector processes with an internal reciprocal dynamics ⋮ An efficient algorithm for maximum entropy extension of block-circulant covariance matrices ⋮ Nearest-neighbour modelling of reciprocal chains ⋮ Employing the algebraic Riccati equation for a parametrization of the solutions of the finite-horizon LQ problem: the discrete-time case

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