On the spectral factorization of nonstationary vector random processes

DOI10.1109/TAC.1974.1100706zbMATH Open0299.62058OpenAlexW2169111280MaRDI QIDQ4054553FDOQ4054553

Authors: Nesim Halyo, George A. McAlpine 

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.1974.1100706

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Estimation and detection in stochastic control theory (93E10)

Cited In (8)

• New prediction algorithms by covariance information based on innovation theory
• Minimization of a functional over the set of causal operators of causal Hilbert space
• New design of linear least-squares fixed-interval smoother using covariance information
• Relation between filter using covariance information and Kalman filter
• On stochastic realization theory
• Estimations of signal and parameters using covariance information in linear continuous systems
• Initial-value system for linear smoothing problems by covariance information
• New design of linear discrete-time predictor using covariance information

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