Spectral factorization of a finite-dimensional nonstationary matrix covariance

DOI10.1109/TAC.1974.1100700zbMATH Open0297.93053OpenAlexW2000492564MaRDI QIDQ4052012FDOQ4052012

Brian D. O. Anderson, P. Moylan

Publication date: 1974

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

Full work available at URL: https://doi.org/10.1109/tac.1974.1100700

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10)

Cited In (9)

• Direct solution to the general reduced-order stochastic observation problem
• Spectral factorization of linear periodic systems with application to the optimal prediction of periodic ARMA models
• On linear least-squares estimators for continuous-time stochastic systems
• Some alternatives in recursive estimation†
• Factorization of a rational matrix: The singular case
• Minimization of a functional over the set of causal operators of causal Hilbert space
• Return-difference matrix properties of optimal linear stationary estimation and control in singular case
• Explicit strict sense state-space realizations of non-stationary processes†
• Estimations of signal and parameters using covariance information in linear continuous systems

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