Periodic vector processes with an internal reciprocal dynamics

DOI10.1016/J.SYSCONLE.2023.105503MaRDI QIDQ6161362zbMATH OpenOpenAlexFDO

Authors Giorgio Picci

Publication date 27 June 2023

Published in Systems \& Control Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.sysconle.2023.105503

zbMATH Keywords

periodic ARMA modelsreciprocal processesstochastic partial realization

Mathematics Subject Classification ID

Realizations from input-output data (93B15) Stochastic systems in control theory (general) (93E03) Identification in stochastic control theory (93E12)

Recommendations

• Structural properties of periodic stochastic processes
• scientific article; zbMATH DE number 6299941
• scientific article; zbMATH DE number 847974
• scientific article; zbMATH DE number 1409838
• Finite dimensional behavior of periodic and asymptotically periodic processes
• Periodically correlated and multivariate symmetric stable processes related to periodic and cyclic flows
• Periodic solutions of differential equations perturbed by stochastic processes
• scientific article; zbMATH DE number 1062638
• Periodically Correlated Processes and Their Stationary Dilations

Cites work

• A complete parameterization of all positive rational extensions of a covariance sequence
• A Convex Optimization Approach to ARMA(n,m) Model Design from Covariance and Cepstral Data
• A Convex Optimization Approach to the Rational Covariance Extension Problem
• A Maximum Entropy Solution of the Covariance Extension Problem for Reciprocal Processes
• Algorithms for Triangular Decomposition of Block Hankel and Toeplitz Matrices with Application to Factoring Positive Matrix Polynomials
• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Characterization of Stationary Discrete-Time Gaussian Reciprocal Processes over a Finite Interval
• Embedding nonnegative definite Toeplitz matrices in nonnegative definite circulant matrices, with application to covariance estimation
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Gaussian reciprocal processes and self-adjoint stochastic differential equations of second order
• scientific article; zbMATH DE number 3761868 (Why is no real title available?)
• scientific article; zbMATH DE number 3561857 (Why is no real title available?)
• scientific article; zbMATH DE number 1740443 (Why is no real title available?)
• scientific article; zbMATH DE number 3005682 (Why is no real title available?)
• Kullback-leibler approximation of spectral density functions
• Linear Stochastic Systems
• Modeling and estimation of discrete-time Gaussian reciprocal processes
• Modeling of stationary periodic time series by ARMA representations
• On the Covariance Completion Problem Under a Circulant Structure
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• On the partial stochastic realization problem
• Realization of power spectra from partial covariance sequences
• Reciprocal processes
• Reciprocal Processes: The Stationary Gaussian Case
• Relative entropy and the multivariable multidimensional moment problem
• The Circulant Rational Covariance Extension Problem: The Complete Solution
• The Markov processes of Schr�dinger
• The prediction theory of multivariate stochastic processes. III: Unbounded spectral densities

This page was built for publication: Periodic vector processes with an internal reciprocal dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6161362)