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Accurate determination of the frequency-to-time-domain matrix and its application to the inverse laplace transform of high order systems

โœ Scribed by L.S. Shieh; C.F. Chen

Book ID
113211586
Publisher
Elsevier Science
Year
1977
Tongue
English
Weight
219 KB
Volume
4
Category
Article
ISSN
0045-7906

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An exact formula of the inverse covariance matrix of an autoregressive stochastic process is obtained using the Gohberg}Semencul explicit inverse of the Toeplitz matrix. This formula is used to build an estimator of the inverse covariance matrix of a stochastic process based on a single realization.