On the Hankel-norm approximation of linear stochastic systems (Q802519)

Ordering and interlocking properties for the singular values of the block-Hankel matrices corresponding to different spectral factors of a given spectral density matrix are applied to Hankel-norm approximation of SISO stochastic systems. In this way it may be shown that the minimum phase model may be approximated by systems of a certain dimension with better accuracy than any other model with the same output process. Upper bounds on the gain in accuracy are given.