Canonical correlation analysis, approximate covariance extension, and identification of stationary time series

DOI10.1016/0005-1098(96)80649-2zbMath0856.93099OpenAlexW2094507477MaRDI QIDQ1917129

Anders Lindquist, Giorgio Picci

Publication date: 25 February 1997

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(96)80649-2

zbMATH Keywords

subspace methodscanonical correlation analysisstochastic model reductionstochastic balancingstochastic realization theoryrational covariance extension problemstate space identification

Mathematics Subject Classification ID

Minimal systems representations (93B20) Identification in stochastic control theory (93E12) System structure simplification (93B11) Realizations from input-output data (93B15)

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