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On-line estimation of the parameters of a multivariable system using matrix pseudo-inverse

✍ Scribed by SEN, A.; SINHA, N. K.

Book ID
121300136
Publisher
Taylor and Francis Group
Year
1976
Tongue
English
Weight
300 KB
Volume
7
Category
Article
ISSN
0020-7721

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✍ 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.