Model reduction via the internally balanced state space representation

DOI10.1080/00949658908811200MaRDI QIDQ3350588zbMATH OpenOpenAlexFDO

Authors Leland E. Crabbe, Brian B. Young

Publication date 1989

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658908811200

zbMATH Keywords

controllabilityidentificationmultiple time seriesnumerical conditioningobservabilitysingular value decompositionstability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A canonical analysis of multiple time series
• A new algorithm for the minimal balanced realization of a transfer function matrix
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Approximate linear realizations of given dimension via Ho's algorithm
• scientific article; zbMATH DE number 3151182 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 3528420 (Why is no real title available?)
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Model reduction via balanced state space representations
• Modeling Multiple Times Series with Applications
• Principal component analysis in linear systems: Controllability, observability, and model reduction
• Reduced rank models for multiple time series
• The Multivariate Portmanteau Statistic

Cited in

(5)

• State space reduction based on live variables analysis.
• Internal positivity preserved model reduction
• Model specification tests for balanced representation state space models
• Model reduction with balanced realizations
• A state space method for estimating frequencies and dampings

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