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Stochastic Realization of Stationary Processes: State-Space, Matrix Fraction and ARMA Forms

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Perspectives in Control Theory

Part of the book series: Progress in Systems and Control Theory ((PSCT,volume 2))

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Abstract

This paper discusses results from the stochastic realization theory of second order stochastic process. The forward and backward stochastic state-space representation are derived and transfer relations are given to obtain their associated matrix fraction description and ARMA forms. The correspondence among these realizations are elaborated.

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Authors
  1. L. Keviczky
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  2. J. Bokor
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Keviczky, L., Bokor, J. (1990). Stochastic Realization of Stationary Processes: State-Space, Matrix Fraction and ARMA Forms. In: Perspectives in Control Theory. Progress in Systems and Control Theory, vol 2. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4757-2105-8_7

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  • DOI: https://doi.org/10.1007/978-1-4757-2105-8_7

  • Publisher Name: Birkhäuser, Boston, MA

  • Print ISBN: 978-1-4757-2107-2

  • Online ISBN: 978-1-4757-2105-8

  • eBook Packages: Springer Book Archive

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