An evaluation of algorithms for computing the covariance function of a multivariable arma process

DOI10.3166/ejc.8.315-325zbMath1293.93724MaRDI QIDQ2512229

Michael Šebek, Vladimír Kučera, Didier Henrion, Torsten Söderström, Jan Jezek

Publication date: 7 August 2014

Published in: European Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3166/ejc.8.315-325

zbMATH Keywords

covariance function; ARMA process; numerical algorithm; numerical accuracy

Mathematics Subject Classification ID

93E10: Estimation and detection in stochastic control theory

94A12: Signal theory (characterization, reconstruction, filtering, etc.)

Uses Software

• Matlab
• Algorithm 432