Generalized least squares innovation representation

DOI10.1016/0898-1221(88)90157-5zbMATH Open0653.93061OpenAlexW1984578514MaRDI QIDQ1108255FDOQ1108255

Authors: István Bencsik, György Michaletzky 

Publication date: 1988

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(88)90157-5

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zbMATH Keywords

Riccati equationsHankel matrixinnovation representationstochastic realizationfinite dimensional discrete-time stochastic systemsgeneralized least squares algorithm

Mathematics Subject Classification ID

Hermitian, skew-Hermitian, and related matrices (15B57) Stationary stochastic processes (60G10) Discrete-time control/observation systems (93C55) Identification in stochastic control theory (93E12) Matrix equations and identities (15A24) Realizations from input-output data (93B15)

Cites Work

• Title not available (Why is that?)
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Markovian Representation of Stochastic Processes by Canonical Variables
• Identification of errors-in-variables models with Faurre type realization algorithms

Cited In (1)

• Identification of errors-in-variables models with Faurre type realization algorithms

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