Identification and filtering

DOI10.1007/BF01744585MaRDI QIDQ3325597zbMATH OpenOpenAlexFDO

Authors R. S. Bucy

Publication date 1983

Published in Mathematical Systems Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01744585

zbMATH Keywords

asymptotic behaviorautoregressive moving averagedegenerate filteringdiscrete Riccati equationreflection coefficients

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Signal detection and filtering (aspects of stochastic processes) (60G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

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(5)

• ARMA identification
• Riemann function approach to unbiased filtering and prediction
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• Digital synthesis of non-linear filters

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