𝔖 Bobbio Scriptorium
✦   LIBER   ✦

An introduction to the application of the simplest matrix-generalized inverse in systems science

✍ Scribed by Lovass-Nagy, V.; Miller, R.; Powers, D.

Book ID
117914046
Publisher
IEEE
Year
1978
Weight
735 KB
Volume
25
Category
Article
ISSN
0098-4094

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An estimator of the inverse covariance matrix and its application to ML parameter estimation in dynamical systems
✍ B. David; G. Bastin πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 202 KB

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.