On the spectral factorization of nonstationary vector random processes

DOI10.1109/TAC.1974.1100706MaRDI QIDQ4054553zbMATH OpenOpenAlexFDO

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)

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

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