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Linear Stochastic Systems pp 463–506Cite as

Finite-Interval and Partial Stochastic Realization Theory

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Part of the book series: Series in Contemporary Mathematics ((SCMA,volume 1))

Abstract

In Sect. 11.2 we described a procedure for computing the triplet .A;C;CN / of a stationary process y starting from the Hankel matrix H1 formed from the infinite covariance sequence .ƒ0;ƒ1;ƒ2; : : : /. This procedure leads, via the solution of the associated linear matrix inequality (6.102), to the construction of all minimal stochastic realizations of the process.

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Authors and Affiliations

  1. Departments of Automation and Mathematics, Shanghai Jiaotong University, Shanghai, China

    Anders Lindquist

  2. Department of Mathematics, Royal Institute of Technology, Stockholm, Sweden

    Anders Lindquist

  3. Department of Information Engineering, University of Padova, Padova, Italy

    Giorgio Picci

Authors
  1. Anders Lindquist
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  2. Giorgio Picci
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Lindquist, A., Picci, G. (2015). Finite-Interval and Partial Stochastic Realization Theory. In: Linear Stochastic Systems. Series in Contemporary Mathematics, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-45750-4_12

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