Robust linear filtering for multivariable stationary time series

DOI10.1109/TAC.1986.1104295zbMath0589.93064OpenAlexW1985961038MaRDI QIDQ3718601

Haralampos Tsaknakis, P. Papantoni-Kazakos

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1109/tac.1986.1104295

zbMATH Keywords

linear filteringspectral uncertaintymultivariable second-order stationary time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Multivariable systems, multidimensional control systems (93C35) Linear systems in control theory (93C05)

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