Generalized least squares innovation representation

DOI10.1016/0898-1221(88)90157-5MaRDI QIDQ1108255zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3365976 (Why is no real title available?)
• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• Identification of errors-in-variables models with Faurre type realization algorithms
• Markovian Representation of Stochastic Processes by Canonical Variables

Cited in

(1)

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

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