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Generalized least squares innovation representation

โœ Scribed by I. Bencsik; Gy. Michaletzky

Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
414 KB
Volume
11
Category
Article
ISSN
0895-7177

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โœฆ Synopsis

In this paper we shouldlike to give a unified approach to the stochastic realization problem of finite dimensional discrete time stochastic systems . The generalized least squares innovation representation /GLS IR/ developed in the paper has diagonal error covariance matrix in tie state space and orthonormed innovation process.Algorithm is presented for the identification of the parameters of the GLS IR.

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