๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Parameter estimation in dynamic systems

โœ Scribed by Walter J.H. Stortelder

Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
417 KB
Volume
42
Category
Article
ISSN
0378-4754

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

An estimator of the inverse covariance m
An estimator of the inverse covariance matrix and its application to ML parameter estimation in dynamical systems
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.