Approximate predictor and filter for partially observed vector ARMA processes
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Publication:1075732
DOI10.1016/0898-1221(85)90098-7zbMath0592.62077MaRDI QIDQ1075732
Publication date: 1985
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0898-1221(85)90098-7
interpolation; stability; controllability; Observability; ARMA(k,k); L sub 2 optimal filter; L sub 2 optimal predictor; partially observed vector autoregressive moving average processes
62M20: Inference from stochastic processes and prediction
60G25: Prediction theory (aspects of stochastic processes)
Cites Work