A new algorithm for Gauss Markov identification

P. Bernhard, A. Benveniste, G. Cohen, J. Chatelon

Research output: Contribution to journalArticlepeer-review

Abstract

Based on the theory of Gauss Markov representation established by FAURRE [4], and on a new theorem about the inverse of the spectrum of the signal process, a new algorithm is proposed, using frequency methods, but which does not appeal to classical spectral factorization, nor to any algebraic Riccati equation.
Original languageEnglish
Pages (from-to)22-27
Number of pages6
JournalLecture Notes in Computer Science
Volume27 LNCS
DOIs
StatePublished - 1 Jan 1975

Keywords

  • Riccati Equation
  • Algebraic Riccati Equation
  • Noise Covariance Matrix
  • Realization Algorithm
  • Mathematical System Theory

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