Markovian Representation of Stochastic Processes by Canonical Variables

Signal detection and filtering (aspects of stochastic processes) (60G35) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10)

Cited in

(46)

Multi-stimulus multi-response posturography
A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
Multivariate time series analysis with state space models
Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms
Consistency and relative efficiency of subspace methods
ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS
System identification methods for (operational) modal analysis: review and comparison
A method for approximate representation of vector-valued time series and its relation to two alternatives
Contraction of information in systems far from equilibrium
Canonical correlation analysis, approximate covariance extension, and identification of stationary time series
IDENTIFYING MULTIVARIATE TIME SERIES MODELS
Balanced stochastic realizations
Minimum phase properties of finite-interval stochastic realization
Lumpability and observability of linear systems
Forecasting international growth rates with leading indicators: A system- theoretic approach
Subspace-based fault detection algorithms for vibration monitoring
Subspace algorithms for the stochastic identification problem
State-space formulae for the factorization of all-pass matrix functions
COMPUTATION OF CANONICAL CORRELATION BETWEEN PAST AND FUTURE OF A TIME SERIES
Silverman algorithm and the structure of discrete-time stochastic systems
Subspace identification by data orthogonalization and model decoupling
Spectral factor reduction by phase matching: the continuous-time single-input single-output case†
Canonical correlations of past inputs and future outputs for linear stochastic systems
Markovian representation of a bilinear time series model and maximum likelihood estimation of the parameters
A stochastic realization algorithm via block LQ decomposition in Hilbert space
Hankel-norm approximation of a rational function using stochastic realizations
Model reduction by phase matching
Improved estimates of the parameters of state space time series models
A unifying theorem for three subspace system identification algorithms
Generalized least squares innovation representation
On the internal structure of minimal stochastic realizations
DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS
Optimal angle reduction -- a behavioral approach to linear system approximation
On approximate recursive prediction of stationary stochastic processes
Estimation of structure by minimum description length
Computationally efficient steady-state multiscale estimation for 1-D diffusion processes
All-pass matrices, the positive real lemma, and unit canonical correlations between future and past
On minimal splitting subspaces and markovian representations
Explicit strict sense state-space realizations of non-stationary processes†
scientific article; zbMATH DE number 3688432 (Why is no real title available?)
Experimental evidence showing that stochastic subspace identification methods may fail
On the run length of a state-space control chart for multivariate autocorrelated data
State-space approach to approximation by phase matching
On two selected topics connected with stochastic systems theory
Dynamic modeling of internet traffic for intrusion detection
Subspace-based algorithms for structural identification, damage detection, and sensor data fusion

This page was built for publication: Markovian Representation of Stochastic Processes by Canonical Variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4070069)