Summary
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.
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Bibliography
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Bernhard, P., Benveniste, A., Cohen, G., Chatelon, J. (1975). A New Algorithm for Gauss Markov Identification. In: Marchuk, G.I. (eds) Optimization Techniques IFIP Technical Conference. Lecture Notes in Computer Science. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-38527-2_4
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DOI: https://doi.org/10.1007/978-3-662-38527-2_4
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