Stochastic Realization of Stationary Processes: State-Space, Matrix Fraction and ARMA Forms

  • L. Keviczky
  • J. Bokor
Part of the Progress in Systems and Control Theory book series (PSCT, volume 2)

Abstract

This paper discusses results from the stochastic realization theory of second order stochastic process. The forward and backward stochastic state-space representation are derived and transfer relations are given to obtain their associated matrix fraction description and ARMA forms. The correspondence among these realizations are elaborated.

Keywords

SIAM Journal White Noise Process State Space Representation Hankel Matrix Transfer Relation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1990

Authors and Affiliations

  • L. Keviczky
  • J. Bokor

There are no affiliations available

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