On the structure of state-space models for discrete-time stochastic vector processes

DOI10.1109/TAC.1984.1103549MaRDI QIDQ3325604zbMATH OpenFDO

Authors Anders Lindquist, Michele Pavon

Publication date 1984

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1984.1103549

zbMATH Keywords

discrete-time stationary vector processesgeometric approachKalman filterstochastic realization

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Controllability (93B05) Canonical structure (93B10) Realizations from input-output data (93B15) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03) Identification in stochastic control theory (93E12)

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