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A control theory for stochastic eigenvectors of stochastic matrices through variations of entries

✍ Scribed by D.J. Hartfiel


Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
836 KB
Volume
56
Category
Article
ISSN
0024-3795

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Estimation of noise covariance matrices
✍ Pierre R. BΓ©langer πŸ“‚ Article πŸ“… 1974 πŸ› Elsevier Science 🌐 English βš– 555 KB

An algorithm is given to estimate the noise eovariance matrices for a linear, discrete, time-varying stochastic system. If these matrices are linear with respect to a set of aparameters, it is found that the correlation products of the innovations sequence is also linear in these parameters. The fac