Canonical correlations of past inputs and future outputs for linear stochastic systems
The paper deals with the dependence of future outputs on past inputs via canonical correlation analysis. One considers here a discrete-time stochastic system described by the state difference equation \(x(t+1)=Ax(t)+Bu(t)\) and the output equation \(y(t)=Cx(t)+Du(t)\) where A, B, C and D are constant matrices and the input u(t) is a normalized p- dimensional Gaussian white-noise. The author takes advantage of the fact that the usual notions of dependence between Gaussian processes can be reduced to geometric conditions which in turn can be expressed in terms of canonical correlation coefficients to focus on the characterization of these coefficients by means of system-theoretic quantities. Finally, the author indicates, how her results can be applied to the problem of approximating stochastic systems through lower-dimensional systems.
- scientific article; zbMATH DE number 3963691
- COMPUTATION OF CANONICAL CORRELATION BETWEEN PAST AND FUTURE OF A TIME SERIES
- STATIONARY PROCESSES WITH A FINITE NUMBER OF NON‐ZERO CANONICAL CORRELATIONS BETWEEN FUTURE AND PAST
- Realization of stochastic systems with exogenous inputs and subspace identification methods
- All-pass matrices, the positive real lemma, and unit canonical correlations between future and past
- A stochastic realization approach to the smoothing problem
- Calculation of the amount of information about a random function contained in another such function
- Canonical correlations of past and future for time series: Bounds and computation
- Canonical correlations of past and future for time series: Definitions and theory
- Hankel operators, best approximations, and stationary Gaussian processes
- scientific article; zbMATH DE number 3129730 (Why is no real title available?)
- scientific article; zbMATH DE number 3661178 (Why is no real title available?)
- scientific article; zbMATH DE number 3718005 (Why is no real title available?)
- scientific article; zbMATH DE number 3602407 (Why is no real title available?)
- scientific article; zbMATH DE number 3608897 (Why is no real title available?)
- scientific article; zbMATH DE number 3241743 (Why is no real title available?)
- scientific article; zbMATH DE number 3244325 (Why is no real title available?)
- Infinite Hankel block matrices and related extension problems
- Markovian Representation of Stochastic Processes by Canonical Variables
- Optimal Hankel-norm model reductions: Multivariable systems
- Stochastic Realization and Invariant Directions of the Matrix Riccati Equation
- Stochastic theory of minimal realization
- All-pass matrices, the positive real lemma, and unit canonical correlations between future and past
- Model reduction by phase matching
- Acausal models and balanced realizations of stationary processes
- Hankel-norm approximation of a rational function using stochastic realizations
- On approximate recursive prediction of stationary stochastic processes
- Optimal angle reduction -- a behavioral approach to linear system approximation
- A general Hankel-norm approximation scheme for linear recursive filtering
This page was built for publication: Canonical correlations of past inputs and future outputs for linear stochastic systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q798278)
