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Imprecision index and its application to estimating the prior system information content

โœ Scribed by A. N. Karkishchenko; A. E. Lepskiy

Book ID
111453691
Publisher
SP MAIK Nauka/Interperiodica
Year
2008
Tongue
English
Weight
286 KB
Volume
47
Category
Article
ISSN
1064-2307

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โœ B. David; G. Bastin ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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.