Skip to main content

Representations markoviennes de processus gaussiens stationnaires et applications statistiques

  • Conference paper
  • First Online:
Journées de Statistique des Processus Stochastiques

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 636))

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 34.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 46.00
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. H. AKAIKE, "Stochastic Theory of Minimal Realization", IEEE Trans. A.C., Vol. 19, 1974

    Google Scholar 

  2. H. AKAIKE, "Markovian Representation of Stochastic Processes by Canonical Variables", SIAM J. of Control, Vol. 13, 1975

    Google Scholar 

  3. B.D.O. ANDERSON, "The Inverse Problem of Stationary Covariance Generation", J. of Statistical Physics, Vol. 1, 1969

    Google Scholar 

  4. T.W. ANDERSON, "The Statistical Analysis of Time Series", John Wiley & Sons, 1971

    Google Scholar 

  5. A. BENSOUSSAN, "Filtrage Optimal des Systèmes Linéaires", Dunod, 1971

    Google Scholar 

  6. G.E.P. BOX and G.M. JENKINS, "Time Series Analysis Forecasting and Control", Holden Day, 1970

    Google Scholar 

  7. J.L. DOOB, "The Elementary Gaussian Processes", Ann. Math. Stat. 15, 1944

    Google Scholar 

  8. P. FAURRE, "Réalisations Markoviennes de Processus Stationnaires", rapport IRIA No 13, 1973

    Google Scholar 

  9. P. FAURRE, "Eléments d'Automatique", Dunod, 1974

    Google Scholar 

  10. B.L. HO and R.E. KALMAN, "Effective Construction of Linear State Variable Models from Imput/Output Data", Proc. 3rd Allerton Conference, 1965

    Google Scholar 

  11. T. KAILATH and R. GEESEY, "An Innovations Approach to Least Squares Estimation Part IV: Recursive estimation given lumped covariance function", IEEE Trans. A.C., Vol. 16, 1971

    Google Scholar 

  12. R.E. KALMAN, "A New Approach to Linear Filtering and Prediction Problems", J. of Basic Engineering, March 1960

    Google Scholar 

  13. R.E. KALMAN, "Linear Stochastic Filtering — Reappraisal and Outlook", Symposium on System Theory — Polytechnic Institute of Brooklyn, April 1965

    Google Scholar 

  14. M. MORF, G.S. SIDHU and T. KAILATH, "Some New Algorithms for Recursive Estimation in Constant Linear, Discrete Time Series", IEEE Trans. A.C., Vol. 19, 1974

    Google Scholar 

  15. B. SZ.-NAGY and C. FOIAS, "Harmonic Analysis of Operators on Hilbert Space", North Holland, 1970

    Google Scholar 

  16. J. NEVEU, "Processus Aléatoires Gaussiens", Presses de l'Université de Montréal, 1968

    Google Scholar 

  17. E. PARZEN, "Multiple Time Series Modelling", Technical Report No 12, Department of Statistics, Stanford, 1968

    Google Scholar 

  18. G. PICCI, "Stochastic Realization of Gaussian Processes", IEEE Vol. 64, 1976

    Google Scholar 

  19. J. RISSANEN, "Recursive Identification of Linear Systems", SIAM J. of Control, Vol. 9, 1971

    Google Scholar 

  20. Y.A. ROZANOV, "Stationary Random Processes", Holden Day, 1967

    Google Scholar 

  21. G. RUCKEBUSCH, "Représentations Markoviennes de Processus Gaussiens Stationnaires, Thèse 3ème Cycle, Paris VI, Mai 1975

    Google Scholar 

  22. G. RUCKEBUSCH, "Représentations Markoviennes de Processus Gaussiens Stationnaires, C.R.A.S., t. 282, série A-649, 22 Mars 1976

    Google Scholar 

  23. P. WHITTLE, "On the Fitting of Multivariate Autoregressions, and the Approximate Canonical Factorization of a Spectral Density Matrix", Biometrika, Vol. 50, 1963

    Google Scholar 

  24. N. WIENER and P. MASANI, "The Prediction Theory of Multivariate Stochastic Processes, II", Acta Math., Vol. 99, 1958.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Didier Dacunha-Castelle Bernard Van Cutsem

Rights and permissions

Reprints and permissions

Copyright information

© 1978 Springer-Verlag

About this paper

Cite this paper

Ruckebusch, G. (1978). Representations markoviennes de processus gaussiens stationnaires et applications statistiques. In: Dacunha-Castelle, D., Van Cutsem, B. (eds) Journées de Statistique des Processus Stochastiques. Lecture Notes in Mathematics, vol 636. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0063262

Download citation

  • DOI: https://doi.org/10.1007/BFb0063262

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-08658-1

  • Online ISBN: 978-3-540-35925-8

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics