Abstract
In this book we consider the following inverse problem: Given a stationary stochastic vector process, find a linear stochastic system, driven by white noise, having the given process as its output. This stochastic realization problem is a problem of state-space modeling, and like most other inverse problems it has in general infinitely many solutions. Parametrizing these solutions and describing them in a systems-theoretic context is an important problem from the point of view of applications.
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Lindquist, A., Picci, G. (2015). Introduction. In: Linear Stochastic Systems. Series in Contemporary Mathematics, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-45750-4_1
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DOI: https://doi.org/10.1007/978-3-662-45750-4_1
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-45749-8
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