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An innovations approach to the discrete-time stochastic realization problem

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Gevers, Michel [UCL] Wouters, W.R.E.

In this paper the authors use results to compute finite state-space or auto-regressive moving average (ARMA) models for finite-dimensional stationary discrete time processes whose covariance is given. The reason for computing such models is that the predictor formulas become finitely recursive.

Document type Article de périodique (Journal article) – Article de recherche
Publication date 1978
Journal information "Journal "A"" - Vol. 19, no. 2, p. 90-110 (1978)
Peer reviewed yes
issn 0771-1107
Publication status Publié
Affiliation UCL - Autre
Links
Bibliographic reference Gevers, Michel ; Wouters, W.R.E.. An innovations approach to the discrete-time stochastic realization problem. In: Journal "A", Vol. 19, no. 2, p. 90-110 (1978)
Permanent URL http://hdl.handle.net/2078.1/66586