Realization and reduction of Markovian models from nonstationary data

DOI10.1109/TAC.1981.1102811zbMath0517.93056MaRDI QIDQ3666727

Yoram Baram

Publication date: 1981

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

order reductionorthogonal time-step predictorrealization of Markovian models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Factorization of matrices (15A23) Identification in stochastic control theory (93E12) Eigenvalues, singular values, and eigenvectors (15A18) Stochastic approximation (62L20) Sample path properties (60G17) Realizations from input-output data (93B15) Prediction theory (aspects of stochastic processes) (60G25)

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