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Abstract

In stochastic systems, the outputs are (partly) driven by unobserved random inputs. This chapter is concerned with stationary processes and their approximation with finite dimensional linear stochastic systems. Similar to the results for deterministic input-output systems there is an equivalence between finite dimensional stochastic state space models, polynomial (ARMA) representations, and rational spectra (in the frequency domain), which are the analogue of the transfer function.

Keywords

Moving Average Stochastic System State Space Model ARMA Model Stable Matrix 
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

© Birkhäuser Verlag 2007

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