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APPROXIMATE GAUSS-MARKOV REALISATION OF MULTIVARIATE STOCHASTIC PROCESSES.

Maciejowski, JM (1984) APPROXIMATE GAUSS-MARKOV REALISATION OF MULTIVARIATE STOCHASTIC PROCESSES. IEE Colloquium (Digest). 5. 1-5. 4-. ISSN 0963-3308

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Abstract

Given a spectral density matrix or, equivalently, a real autocovariance sequence, the author seeks to determine a finite-dimensional linear time-invariant system which, when driven by white noise, will produce an output whose spectral density is approximately PHI ( omega ), and an approximate spectral factor of PHI ( omega ). The author employs the Anderson-Faurre theory in his analysis.

Item Type: Article
Subjects: UNSPECIFIED
Divisions: Div F > Control
Depositing User: Unnamed user with email sms67@cam.ac.uk
Date Deposited: 16 Jul 2015 14:13
Last Modified: 01 Aug 2015 00:25
DOI: