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Estimation of the matrices of parameters and covariations of the perturbation vectors in multidimensional discrete-time dynamic systems under special structure of the unknown covariance matrices

✍ Scribed by L. P. Sysoev

Book ID: 110153066
Publisher: SP MAIK Nauka/Interperiodica
Year: 2010
Tongue: English
Weight: 192 KB
Volume: 71
Category: Article
ISSN: 0005-1179
DOI: 10.1134/s0005117910020141

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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.