Minimum phase properties of finite-interval stochastic realization

DOI10.1016/j.automatica.2007.02.004zbMath1207.93101OpenAlexW2087454590MaRDI QIDQ2466904

Hideyuki Tanaka, Tohru Katayama

Publication date: 16 January 2008

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2007.02.004

zbMATH Keywords

subspace identificationHilbert spacecanonical correlation analysisfinite intervalLQ decompositioninnovation representationstochastic realization

Mathematics Subject Classification ID

Variable structure systems (93B12) Stochastic systems in control theory (general) (93E03) Realizations from input-output data (93B15)

Cites Work

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• A stochastic realization algorithm via block LQ decomposition in Hilbert space
• Experimental evidence showing that stochastic subspace identification methods may fail
• Subspace algorithms for the stochastic identification problem
• Canonical correlation analysis, approximate covariance extension, and identification of stationary time series
• A transformation approach to stochastic model reduction
• A realization approach to stochastic model reduction
• Stochastic theory of minimal realization
• Markovian Representation of Stochastic Processes by Canonical Variables

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