Publication:3745111
From MaRDI portal
zbMath0606.62102MaRDI QIDQ3745111
Publication date: 1987
identification; linear systems; Cholesky factorization; Hankel matrix; filtering; state space models; Kalman filters; ARMA; vector time series; realization; singular value decompositions; Hankel norm; Adamjan-Arov-Krein theory; multi- input/output linear systems
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
93B30: System identification
62-02: Research exposition (monographs, survey articles) pertaining to statistics
93E12: Identification in stochastic control theory
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